Due to the high relevance of 1-day volatility forecasts and the increasing demand for zero-day-to-expiration (0DTE …) options on the S&P 500, the Cboe recently introduced the 1-Day Volatility Index (VIX1D). Compared to the longer …-term volatility indices of the VIX family, it is overall lower and more volatile, shows a weaker negative correlation with the S&P 500 …

volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014 … January 2004 to May 2022, the empirical results show that the effect of EPU on the volatility of UAE stock markets is time …

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for … reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth …. We find that the volatility of U.S. firms is higher mostly because of good volatility. Specifically, firm stock …

From 1991 to 2006, U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility … in a country can be higher than the stock return volatility of a similar firm in another country for reasons that … contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …