The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and the recently published VKOSPI (in Korea) - and...

This study investigates the economic and financial drivers of volatility changes and integrates them into stock market volatility forecasting. We first collect a diverse set of predictor variables and analyze them within a unified framework. We discover that only a small number of variables...