The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market

Modelling the volatility of crude oil returns: Jumps and volatility forecasts

“…Haugom et al (2014) demonstrate that oil implied volatility plays a crucial role in forecasting the variance of oil prices. Luo, Qin, and Ye (2016) show that gold VIX carries important information for predicting the volatility of the Chinese gold futures market. Luo and Ye (2015) document similar results for the Chinese silver futures market.…”

Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence

“…Busch et al (2011), use forecasting methods based on long-range dependence methods, such as the heterogeneous autoregressive forecasting model proposed by Corsi (2009), to show that implied volatility contains incremental information about future return volatility regarding both the continuous and the jump components of realised volatility in the equity, bond and currency markets. Finally, the prediction of realised volatilities can also be improved using implied volatilities among other predictive variables in commodity markets (Haugom et al, 2014;and Dutta, 2017), and including jumps (Luo et al, 2016).…”

Predictability of OTC Option Volatility for Future Stock Volatility

“…There are some studies that have used other indices. For example, Luo et al [32] provide evidence that the CBOE gold ETF volatility index has substantial forecasting power for realized volatility of the Shanghai gold futures market in in-sample and out-of-sample tests. Jung [33] explored the predictability of the Volatility Index of Canada (VIXC) compared with those of GARCH type volatility and found that the VIXC exhibits the worst predictability and GARCH (1,1) makes the best predictions when considering the directional accuracy measured by mean directional error.…”