to predict future S&P realized volatility. We evaluate the aggregate volatility predictions of regularization methods … main drivers of aggregate volatility are several financial and macroeconomic uncertainty proxies …

return volatility among stocks favored by Robinhood investors, as proxied by Reddit WallStreetBets mentions. HFTs with …

market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is … volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense …

volatility connectedness among the GameStop stock, the U.S. stock market, and the novel market-wide and sectoral short … of return and volatility spillovers from other companies shorted in the market. This result agrees with a view that short …

Although a good deal of research effort has been allocated to understanding the time-series volatility of stock returns … – as both market (or systematic) volatility and idiosyncratic (or non-systematic) volatility – the relationship of such … volatility with cross-sectional volatility or dispersion of outcomes is sparse. Nevertheless, the quest to understand one must …

volatility index as risk management tool for stock market trading. It is found that relationship between NIFTY and VIX is strong …