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Applied Economics Volume 48, 2016 - Issue 13
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Original Articles

Does VIX or volume improve GARCH volatility forecasts?

Dimos S. KambouroudisStirling Management School, University of Stirling, Stirling, UKCorrespondence[email protected]
&
David G. McMillanStirling Management School, University of Stirling, Stirling, UK
Pages 1210-1228 | Published online: 02 Oct 2015

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Xinyu Wu, Michelle Xia & Xindan Li. (2023) Modelling and forecasting volatility with high-frequency and VIX information: a component realized EGARCH model with VIX. Applied Economics 55:20, pages 2273-2291.
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Pratap Chandra Pati, Parama Barai & Prabina Rajib. (2018) Forecasting stock market volatility and information content of implied volatility index. Applied Economics 50:23, pages 2552-2568.
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Anupam Dutta & Debojyoti Das. (2022) Forecasting realized volatility: New evidence from time‐varying jumps in VIX. Journal of Futures Markets 42:12, pages 2165-2189.
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Qing Peng, Jie Li, Yu Zhao & Han Wu. (2021) The informational content of implied volatility: Application to the USD/JPY exchange rates. Journal of Asian Economics 76, pages 101363.
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Dimos S. Kambouroudis, David G. McMillan & Katerina Tsakou. (2021) Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. Journal of Futures Markets 41:10, pages 1618-1639.
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Min Liu, James W. Taylor & Wei-Chong Choo. (2020) Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing. Economic Modelling 93, pages 651-659.
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Zhifeng Dai, Huiting Zhou, Xiaodi Dong & Jie Kang. (2020) Forecasting Stock Market Volatility: A Combination Approach. Discrete Dynamics in Nature and Society 2020, pages 1-9.
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Sha Zhu, Qiuhong Liu, Yan Wang, Yu Wei & Guiwu Wei. (2019) Which fear index matters for predicting US stock market volatilities: Text-counts or option based measurement?. Physica A: Statistical Mechanics and its Applications 536, pages 122567.
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Zachary Bartsch. (2019) Economic policy uncertainty and dollar-pound exchange rate return volatility. Journal of International Money and Finance 98, pages 102067.
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Anupam Dutta. (2019) Impact of silver price uncertainty on solar energy firms. Journal of Cleaner Production 225, pages 1044-1051.
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Anupam Dutta, Juha Junttila & Gazi S. Uddin. (2019) Forecasting the volatility of biofuel feedstock prices: the US evidence. Biofuels, Bioproducts and Biorefining 13:4, pages 912-919.
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Konstantinos Gavriilidis, Dimos S. Kambouroudis, Katerina Tsakou & Dimitris A. Tsouknidis. (2018) Volatility forecasting across tanker freight rates: The role of oil price shocks. Transportation Research Part E: Logistics and Transportation Review 118, pages 376-391.
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Anupam Dutta. (2017) Modeling and forecasting oil price risk: the role of implied volatility index. Journal of Economic Studies 44:6, pages 1003-1016.
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Anupam Dutta, Jussi Nikkinen & Timo Rothovius. (2017) Impact of oil price uncertainty on Middle East and African stock markets. Energy 123, pages 189-197.
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S. Al Wadi. (2017) Improving Volatility Risk Forecasting Accuracy in Industry Sector. International Journal of Mathematics and Mathematical Sciences 2017, pages 1-6.
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Constantinos E. Vorlow. 2017. Handbook of Investors' Behavior During Financial Crises. Handbook of Investors' Behavior During Financial Crises 383 400 .
Dohyun Chun & Donggyu Kim. (2021) State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. SSRN Electronic Journal.
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Minh Nguyen & Min Deng. (2020) Excess Cash and Equity Option Liquidity. SSRN Electronic Journal.
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