This study comprehensively examines the economic and financial drivers of volatility changes in terms of a cross …-country perspective. We exhaustively review a wide range of studies related to financial volatility forecasting and collect a diverse set … stock market movements significantly predict U.S. stock market volatility. Further analyses provide evidence of the effect …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … volatility. Moreover, when comparing with a benchmark and controlling for data snooping, we find that the proposed model yields …

market information can be used to improve realized volatility forecasts in a large cross-section of international equity … markets. We use volatility data for the U.S. and 17 foreign equity markets from the Oxford Man Institute's realized library … and augment for each foreign equity market our benchmark HAR model with U.S. equity market volatility information. We show …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …

We propose the use of a risk measure built on flight-to-safety (FTS) episodes into a volatility forecasting model. We … bond and gold markets. By allowing each FTS day to be an indicator of higher future volatility, we document statistically …. Superior model performance is found over some of the most common volatility forecasting models proposed in the literature that …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …