influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently … proposed asymmetric probability distributions and the APARCH and FGARCH volatility specifications beat more standard … parameter in conditional volatility in the APARCH and FGARCH models explains their better performance. Indeed, our estimates …

diversified portfolio of international futures contracts. We find that their results are largely driven by volatility … volatility, time series momentum and a buy-and-hold strategy offer similar cumulative returns, and their alphas are not …

Recent empirical literature shows that Internet search activity is closely associated with volatility prediction in … evaluate the net contribution of the Internet search activity data in forecasting volatility. We conduct in-sample analysis and … markets once the model includes implied volatility. A further common component analysis shows that most of the predictive …

This paper studies the predictive power of expected volatility in the cross-section of expected stock returns. Evidence … indicates that total and idiosyncratic volatility levels and volatility innovations have predictive power in the cross …-section of expected excess stock returns. The results show that volatility levels are positively and volatility innovations are …

upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on …

predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference … between expected realized volatility and model-free implied volatility -- reflects the costs of insuring against currency … volatility fluctuations, and the strategy sells high-insurance-cost currencies and buys low-insurance-cost currencies. The …

This paper examines whether financial statement information can predict future realized volatility incremental to the … volatility implied by option market prices. Prior research establishes that option-implied volatility is a biased estimator of … future realized volatility. I use an analytical framework to identify accounting-based drivers of equity returns volatility …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … of global convexity comes from its left-tail contributions related to crash fears (left-tail volatility), and right …

This paper attempts to explore the comparative ability of different statistical and econometric volatility forecasting … models in the context of Zimbabwe stock market. Two different models were considered in this study. The volatility of the ZSE … volatility clustering, fat tails and leverage effect, these models are GARCH (1,1) and exponential GARCH (1,1). The first model …