Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in...

Objective To diagnose the relationship between futures contract trading and the volatility of stocks in the Bank Nifty Index. Methodology Time series analysis and the GARCH model are employed to study the interaction between futures trading and spot market volatility. Findings The analysis...

In this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures prices and returns across maturities. In the framework, the investors prefer VIX futures with specific maturities, and the arbitrageurs optimize portfolios based on mean-variance...

This study explores the financialization of agricultural commodities, focusing on how financial derivatives and index funds impact the volatility of agro-food markets. Using a Dynamic Conditional Correlation (DCC) GARCH model, we analyze volatility spillovers among key agricultural commodities,...

Day traders, traders for financial institutions, and corporate executives sometimes appear to do better than chance only because the risk of large losses is hidden or overlooked. As students of casino gambling know, one way to obscure the risk of large losses is to bet more when you are losing...

This study examines the price discovery role of VIX futures in determining the levels of various spot VIX series. We analyze both the short-term linkage using the bivariate Granger causality model as well as the long-term linkage using the Johansen cointegration model with a vector error...

In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its...

This study investigates the co-movement patterns of Asia technology stock indices and cryptocurrencies during the COVID-19 pandemic. The analysis examines Bitcoin and Ethereum, China's Tech index (XA90), and India's Tech index (NSEIT) from 2017 to 2021, representing both before and during...

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...

In this article, we examine performance persistence and the implied volatility smile of the Nasdaq OMX Copenhagen 25 stock index options from the period 2010 to 2020. This is the first study that provides a detailed analysis of performance persistence using data from the nasdaqomxnordic website....

In this analysis we are concerned with the issue of whether market forecasts of volatility, as expressed in the Black-Scholes implied volatilities of at-the-money European options on the S&P500 Index, are superior to those produced by a new forecasting model in the GARCH framework which...

We extend the short rate model of Turfus and Romero-Bermúdez [2021] to facilitate accurate arbitrage-free analytic pricing of SOFR, SONIA or ESTR caplets, i.e. options on backward-looking compounded rates payments, in a manner consistent with the smile and skew levels observed in the market....

Emerging Indian stock market volatility pattern tested for an event of the introduction of weekly option on 19th February 2019.Primary investigation confirms that the need of GARCH models for further investigation. The TGARCH methodology has been adopted. The ARCH and GARCH parameters confirm...

This article examines performance persistence of the S&P 500 stock index options from the period 2010 to 2022. Performance persistence in the investment literature was a major area of investigation for academics, investors and practitioners for more than 3 decades. This is the first study that...

This paper studies the valuation effect of the SP-GSCI roll on commodity contracts. We identify a surge of investment tracking commodity futures indices in December 2003. Before 2004, the roll period generated average cumulative abnormal price changes amounting to 115 bps for the nearby contract...

CNN Money developed the original US Stock Market Fear and Greed Index in 2012, using seven data points to measure stock market performance. The ability of the Fear and Greed Index to impact on future values of the various stock indices appears to be dependent on the observation period and the...

Most technical trading strategies primarily focus on price trends to guide investment decisions. We consider an alternative approach that employs changes in the volatility index (i.e., VIX) as a trading indicator and test a variety of thresholds in an easy to implement trading strategy that even...

Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by constructing and evaluating option combinations that appear undervalued for all permissible values of the latent parameters of the unifying option pricing model and the joint...

For nonzero but small values of correlation a method is given to de-correlate the instantaneous volatility from the price process in stochastic volatility models. Once the skew has been symmetrized in this manner, it is possible to imply moments of realized volatility from the index option...

This paper examines volatility transmission between the spot and futures bitcoin markets. We use daily series over a sampling period that spans from December 2017 to September 2022. We examine several events that spread severe risk in cryptomarkets, such as the COVID-19 pandemic in 2020,...