This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect...

The volume–volatility relationship during the dissemination stages of information flow is examined by analyzing various theories relating volume and volatility as complementary rather than competing models. The mixture of distributions hypothesis, sequential arrival of information hypothesis,...

We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index return and changes in implied volatility at both the daily and intraday level. Neither the leverage hypothesis nor the volatility feedback hypothesis adequately explains the results. Alternatively, we propose that...