day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer … specified time horizon. -- Bootstrapping ; inflation ; inflation-indexed futures ; Mexico ; Value at Risk ; volatility …

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

The contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility …, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback … effects from the implied volatility and the TARCH volatility to the call options volume are positive, significant and strong …

volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …

augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the … during periods of high volatility, when parameters estimates became very unstable. Moreover, several models augmented with … markets, T-GARCH models with implied volatility and student's t errors are better choices if robust market risk measures are …

volatility versus tail risk trade-off based on conditional Value-at-Risk calculations. Our results show that overnight downside … market risk is composed of a moderate volatility risk component and a significant tail risk component. We conclude that … market participants face different intraday versus overnight risk profiles and that a risk assessment based on volatility …