information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model …

, which suggests that investors’ learning of forecasting relationships in real time may explain much of the cyclicality gap …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and …