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From volatility smiles to the volatility of volatility [PDF]
Decisions in Economics and Finance, 2019 The authors review models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. They introduce ``forward volatilities'' (in analogy with forward interest rates in the term structure theory), and prove that such objects are conditional expected values, under the risk-neutral measure ...
Dumas B., Luciano E.
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ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN
E-Jurnal Matematika, 2022 Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI +2 more
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Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
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Distribution Characteristics of Wind Speed Relative Volatility and Its Influence on Output Power
Journal of Marine Science and Engineering, 2023 The stochastic fluctuations of wind speed and wind power curve modeling are complex tasks due to fluctuations in the difference between actual and theoretical power output, leading to a reduction in the accuracy of wind-power curve models.
Shigang Qin, Deshun Liu
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RICE PRICE VOLATILITY IN EAST JAVA [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2017 The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016.
Wati R.Y.E., Anindita R., Setiawan B.
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Entropy, 2021 This study uses the fourteen stock indices as the sample and then utilizes eight parametric volatility forecasting models and eight composed volatility forecasting models to explore whether the neural network approach and the settings of leverage effect ...
Jung-Bin Su
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Volatility of Aggregate Volatility and Hedge Fund Returns [PDF]
SSRN Electronic Journal, 2014 This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index.
Agarwal, V, Arisoy, Y E, Naik, N
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Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility [PDF]
Journal of Futures Markets, 2021 AbstractWe forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR model augmented with IV (HAR‐IV) is more accurate than any HAR
Dimos S. Kambouroudis +2 more
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Forecasting stock market volatility: the role of gold and exchange rate
AIMS Mathematics, 2020 The objective of our paper is to show that gold and exchange rate volatility is predictive of stock volatility from both in-sample and out-of-sample perspectives. There exists very significant predictability from gold and exchange rate volatility to Hang
Zhifeng Dai, Huiting Zhou, Xiaodi Dong
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Applied Mathematics in Science and Engineering, 2023 The forward-looking policy is useful for joint decision-making between public and monetary authorities. The study calculates the monetary policy transparency index, inflation expectations, and their volatility spillover effects at a data-driven angle ...
Qizhi He, Mati ur Rahman, Cuihua Xie
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