The information content of implied volatilities and intra-day returns is compared, in the context of forecasting index volatility over horizons from one to twenty days. Forecasts of two measures of realised volatility are obtained after estimating ARCH models using daily index returns, daily...

The volatility process of the Samp;P 100 index and all its constituent stocks are compared after estimating ARCH models from ten years of daily returns, from 1983 to 1992. The leverage effect of Black (1976) is estimated from an extension of the asymmetric volatility model of Glosten et al...

Hitherto, index volatility has been modelled using the history of index returns but not the returns histories of the stocks that define the index. Theoretical models that relate volatility to the quantity of information are extended to a multi-asset setting and it is deduced that stock returns...

The volatility process of the Samp;P 100 index and all its constituent stocks are compared after estimating ARCH models from ten years of daily returns, from 1983 to 1992. The leverage effect of Black (1976) is estimated from an extension of the asymmetric volatility model of Glosten et al...

The information content of implied volatilities and intra-day returns is compared, in the context of forecasting index volatility over horizons from one to twenty days. Forecasts of two measures of realised volatility are obtained after estimating ARCH models using daily index returns, daily...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996 to December 1999. Volatility forecasts defined by historical stock returns, at-the-money (ATM) implied volatilities and model-free (MF)...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996 to December 1999. Volatility forecasts defined by historical stock returns, at-the-money (ATM) implied volatilities and model-free (MF)...

The volatility information contained in high-frequency exchange rate quotations and in implied volatilities calculated from options prices is compared by estimating ARCH models for hourly and daily DM/$ returns. The results are based on the year of Reuters quotations supplied by Olsen amp;...

Five-minute returns from FTSE-100 index futures contracts are used to obtain accurate estimates of daily index volatility from January 1986 to December 1998. These realized volatility measures are used to obtain inferences about the distributional and autocorrelation properties of FTSE-100...

This paper investigates the link between information arrivals and intraday DEM/$ volatility. Information arrivals are measured by the numbers of news items that appeared in the Reuters News Service. We separate news stories into different categories and find that total headline news counts have...