The contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback effects from the implied volatility and the TARCH...

This paper proposes a convenient approach to measure the time-varying volatility connectedness indexes by developing the connectedness measures within a multivariate Heterogeneous Autoregressive model with measurement errors (VHAR-Q). We utilize this framework to examine the dynamic volatility...