Search Results - subject:"Volatility"

Copula Asymmetry Index (CAI++) : measuring asymmetric equity-volatility tail dependence for defensive allocation

Hatzopoulos, Peter; Statiou, Anastasios D. - 2026

between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of … joint "equity-down & volatility-up" tail events and that of the mirror state ("equity-up & volatility-down") within a …-aware portfolio mapping. Using daily data from 2000 onward across a broad cross-section of 50 equity-volatility pairs, we evaluate the …

Persistent link: https://www.econbiz.de/10015640224

Modeling and forecasting intraday spot volatility

Clements, Adam; Preve, Daniel P. A. - 2026

Persistent link: https://www.econbiz.de/10015668484

Volatility risk and volatility-of-volatility risk : state-dependent correlations between vix and the S&P 500 stock index and hedging effectiveness

Li, Leon; Chen, Carl R. - 2025

Persistent link: https://www.econbiz.de/10015465763

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly … used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the … strength of mean reversion in volatility. To assess the accuracy and practical usability of volatility metrics for option …

Persistent link: https://www.econbiz.de/10015628389

Analytical pricing of discretely sampled volatility swaps under the 4/2 stochastic volatility model

Rujivan, Sanae; Lim, Seyha; Thamrongrat, Nopporn; … - 2026

This paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4 …/2 stochastic volatility model. The model accommodates a broad range of volatility dynamics by combining affine and inverse …-affine components in the instantaneous volatility specification, thereby unifying and extending the structural features of the classical …

Persistent link: https://www.econbiz.de/10015638992

Predicting the volatility of cryptocurrencies' returns using high-frequency data : a comparative analysis of GARCH, EGARCH, IGARCH, GJR-GARCH, LRE, and HAR models

Alsamaani, Abdulrahman; Aldhahi, Huda - 2026

This study provides a comprehensive evaluation of six volatility forecasting models applied to twelve dominant and less … autoregressive conditional heteroskedastic (EGARCH), integrated GARCH (IGARCH), standard GARCH, GJR-GARCH, lagged realized volatility …-specific volatility dynamics during the pre-institutionalization phase of cryptocurrency markets. The study contributes to emerging …

Persistent link: https://www.econbiz.de/10015652166

A Bayesian Dirichlet autoregressive conditional heteroskedasticity model for forecasting currency shares

Katz, Harrison; Weiss, Robert E. - 2026

Persistent link: https://www.econbiz.de/10015668703

Geopolitical shocks and regime-dependent oil price volatility : evidence from Middle East escalations in 2025-2026

Czech, Katarzyna; Wielechowski, Michał - 2026

price volatility regimes. The analysis is based on daily WTI crude oil prices covering the period from 1 January 2024 to 10 … April 2026. A two-regime Markov-switching GARCH model is used to identify low- and high-volatility states. The regime … alternative probability thresholds. The results show that the oil market remained in a low-volatility regime for most of the …

Persistent link: https://www.econbiz.de/10015671893