demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that … the same phenomenon occurs there as well. Two new implications are generated: a volatility level effect and a volatility …

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by … variance, and we examine the impact of the distribution of jumps on the associated implied volatility smile. We provide … sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In …

prices and their volatility. We focus on three major and liquid agricultural markets: corn, soybeans and wheat. We find … positions bear some predictive ability for volatility. This relationship is mainly concentrated on the 2006-2009 period that … includes the recent financial crisis. Finally, we find that volatility decreases with the positions of index fund traders …

The research paper is an effort to review the relevance of option implied volatility in the modern day financial … markets. Volatility indices such as VIX, VFTSE and India VIX act as efficient predictors of market volatility over the near … term. The role implied volatility plays in providing a measure of investors fears, explaining stock returns, credit default …

in order to investigate the volatility in either of the index. The results of GARCH (1, 1) suggest that the impact of the … previous day volatility in both the spot and future index has impact on the current day volatility. The future market price … volatility has more prominent role to explain the spot market prices as compared to that of the explanatory power of the future …

In this paper, I show that the volatility index VIX is not model-free as soon as the diff usion term is not Brownian … the three concepts of the VIX, the volatility per annum and (the square-root of) realized variance do not coincide any … the observable phenomenon of volatility clustering as it suggests that clusters of abnormally high (low) volatility can be …

We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created … properties as these two indices. We also evaluate the VIX, VDAX-NEW and NOVIX in terms of volatility forecasting. As a benchmark … model we use a precise HAR model of Corsi (2009) based on high-frequency data. All three implied volatility indices …