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 …

, and long‐term volatility forecasts are mean‐reverting. When applied to the S&P 500, the new component model significantly … illustrate the MF2‐GARCH's scalability by applying the new model to more than 2100 individual stocks in the Volatility Lab at NYU …

This study examines the dynamics of equity market volatility and economic policy uncertainty (EPU) in South Africa … 2020 to 31 March 2022, the analysis explores both market-wide and sector-specific volatility responses. Univariate GARCH …-family models (GARCH (1,1), E-GARCH, and T-GARCH) are employed to capture volatility clustering, persistence, and asymmetry across …

) methods in forecasting realized volatility across major cryptocurrencies-Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), and … Ripple (XRP). Employing high-frequency data, we analyze cross-cryptocurrency volatility dynamics through two complementary … approaches: volatility forecasting and connectedness analysis. Our findings reveal three key insights: (i) TS models …