This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous …

the financial instruments in the portfolio and on the volatility of those returns. This task is relatively simple if the … correlations and volatilities do not change over time. But in reality both volatility and stock market indexes’ correlations do …

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …

results show that asymmetric models generally outperform symmetric ones, indicating that a correlation between volatility and … returns plays an important role for volatility forecasting. Additionally, models utilizing a logarithmic transformation of the …

Forecasting Realized Volatility (RV) is of paramount importance for both academics andpractitioners. During recent … relative to macroeconomic predictors. We contendthat these sets of predictors impact volatility at different frequencies. We …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …