We analyze intraday model-free implied volatility for a large sample of individual equities. For that purpose we adapt the CBOE VIX methodology and derive an intraday measure based on 1-minute option data. Within a review of the model-free IV theory and CBOE replication methodology we highlight...

We analyze the performance of volatility targeting strategies. Conventional volatility targeting fails to consistently improve performance in global equity markets and can lead to markedly greater draw-downs. Motivated by return patterns in different volatility states, we propose a conditional...

This paper draws upon several distinct contributions to improve the out-of- sample forecasting performance of realized volatility models. More specifically, we retain the rolling-sample idea of Andreou and Ghysels (2002) to propose a new approach we call the Rolling Realized Volatility (RRV ),...

In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence...

Volatility is the measure of the dispersion from the actual returns. And volatility index (VIX) indicates the expected fluctuations in the underlying index for the near term. Both terms are very important in portfolio management as they capture the market risk and investor's behavior. Therefore,...

Over the last two decades, Estimating Volatility of Financial Time Series has been given top priority in the investment decisions. Popular models of GARCH were traditionally used as an econometric tool to estimate volatility. In this paper, the GARCH (1,1) model is used. On the other hand,...

We show that the class of linear-rational square-root (LRSQ) model is able to match the cross section of yields and the time variability of conditional yield volatility simultaneously. Models in this class are, in this regard, able to break the tension noted for the affine term structure models...

This paper employs a GARCH (1,1) model to investigate the impact of COVID-19 cases and related deaths in the US exchange rate volatility. Results show that an increase of the number of cases and the deaths (both in logs) in the US has a positive impact on the USD/EUR, USD/Yuan and...

The present study makes an attempt to investigate the dynamics of contagion and spillover of volatility amongst stock markets of five economies which include three developed nations; US , UK and Japan and two Asian emerging economies viz. India and China The period of study is eleven years; Jan...

We show that incorporating endogenously-determined structural breaks into an asymmetric GARCH model reduces volatility persistence in Bitcoin prices. We find that both good news and bad news have less impact on volatility if structural breaks are incorporated. Hence, our results may indicate...