This work proposes to forecast the Realized Volatility (RV) and the Value-at-Risk (VaR) of the most liquid Russian … stocks using GARCH, ARFIMA and HAR models, including both the implied volatility computed from options prices and Google … Trends data. The in-sample analysis showed that only the implied volatility had a significant effect on the realized …

augmenting a large class of volatility models with implied volatility and Google Trends data improves the quality of the … during periods of high volatility, when parameters estimates became very unstable. Moreover, several models augmented with … markets, T-GARCH models with implied volatility and student’s t errors are better choices if robust market risk measures are …

The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a …, Granger causality tests, and an out-of-sample forecasting exercise with 18 competing models with a forecast horizon of 14 days …

and daily range models. Despite the substantial volatility observed in the majority of crypto-assets, our findings …

cryptocurrency market, addressing key challenges in traditional financial systems and DeFi, such as price volatility, transparency …