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Adding dummy variables: A simple approach for improved volatility forecasting in electricity market
Journal of Management Science and Engineering, 2023 This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity ...
Xu Gong, Boqiang Lin
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Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility
Mathematics, 2021 This study examines the volatility of nine leading cryptocurrencies by market capitalization—Bitcoin, XRP, Ethereum, Bitcoin Cash, Stellar, Litecoin, TRON, Cardano, and IOTA-by using a Bayesian Stochastic Volatility (SV) model and several GARCH models ...
Jong-Min Kim, Chulhee Jun, Junyoup Lee
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Volatility of volatility of financial markets [PDF]
Mathematical and Computer Modelling, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. Ingber, J.K. Wilson
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"Investor attention fluctuation and stock market volatility: Evidence from China".
PLoS ONE, 2023 This paper examines the linkage between Chinese stock market volatility and investor attention fluctuation. In Heterogeneous autoregressive (HAR) model, first, we analyzed the linkage between both decomposed and undecomposed stock market realized ...
Taiji Yang, Siqi Zhuo, Yongsheng Yang
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Economies, 2023 Central bank characteristics are important determinants of stock market returns and their volatility. While the literature has examined the effects of transparency and independence, no research has been conducted so far on the effect of central bank ...
Ioannis Dokas +3 more
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Local Volatility of Volatility for the VIX Market [PDF]
SSRN Electronic Journal, 2011 Following a trend of sustained and accelerated growth, the VIX futures and options market has become a closely followed, active and liquid market. The standard stochastic volatility models—which focus on the modeling of instantaneous variance—are unable to fit the entire term structure of VIX futures as well as the entire VIX options surface.
Drimus, Gabriel, Farkas, Walter
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Cryptocurrency volatility markets [PDF]
Digital Finance, 2020 AbstractBy computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities.
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Speculators, Prices and Market Volatility [PDF]
SSRN Electronic Journal, 2011 We use data from 2005–2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price changes. In examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets.
Brunetti, Celso +2 more
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Modeling volatility in prediction markets [PDF]
Proceedings of the 10th ACM conference on Electronic commerce, 2008 There is significant experimental evidence that prediction markets are efficient mechanisms for aggregating information and are more accurate in forecasting events than traditional forecasting methods, such as polls. Interpretation of prediction market prices as probabilities has been extensively studied in the literature.
Nikolay Archak, Panagiotis G. Ipeirotis
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The Role of the Volatility in the Option Market
AppliedMath, 2023 We review some general aspects about the Black–Scholes equation, which is used for predicting the fair price of an option inside the stock market. Our analysis includes the symmetry properties of the equation and its solutions.
Ivan Arraut, Ka-I Lei
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