volatility at both the daily and intraday level. Neither the leverage hypothesis nor the volatility feedback hypothesis … return–implied volatility relation. Moreover, both the presence and magnitude of the negative relation and the asymmetry … between return and implied volatility are most closely associated with extreme changes in the index returns. We also show that …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …