relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …

We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in … the volatility time series provides us with new insights into the pricing of risk and increases the accuracy of our …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in …

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear … heterogeneous autoregressive and other models of realized volatility. …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …