The Recent Behaviour of Financial Market Volatility

Panetta, Fabio; Angelini, Paolo; Grande, Giusèppe; Levy, Aviram; Perli, Roberto; Yeșin, Pınar; Gerlach, Stefan; Ramaswamy, Srichander; Scatigna, Michela

doi:10.2139/ssrn.1014547

Cited by 26 publications

(10 citation statements)

References 45 publications

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“…This recommendation applies particularly to WTI oil, which has the strongest sensitivity to regime switching. Investors in copper, the most affected by Great Moderation (Pannetta et al, 2006), may ask for the lowest regime change compensation because this metal has the lowest sensitivity to regime switching.…”

Section: Discussionmentioning

confidence: 99%

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

2010

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Section: Discussionmentioning

confidence: 99%

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

2010

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“…Our study focuses on FOMC meetings as a driver of FX volume, thus an open issue is the FX volume response to FOMC days relative to other forms of macroeconomic news. Second, our sample is dominated by low financial market volatility, see Panetta et al (2006). Third, the analysis focused on the FX volume response to 40 FOMC meetings.…”

Section: Usd Volume and Federal Funds Futuresmentioning

confidence: 99%

Does FOMC news increase global FX trading?

Fischer¹,

Ranaldo²

2011

Journal of Banking & Finance

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a b s t r a c tDoes global currency volume increase on Federal Open Market Committee (FOMC) days? To test hypotheses of abnormal currency volume on FOMC days, a new data set from the Continuous Linked Settlement (CLS) Bank is used. The CLS measure captures more than half of the global trading volume in foreign exchange (FX) markets. The evidence shows that FX trading volume increases about 5% in the spot and the spot-next market following FOMC deliberations. The novelty of this result is that the aggregated CLS data controls for responses in various derivatives markets: a feature that existing studies based on intradaily data for specific trading platforms do not consider.

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“…The European Journal of Finance 573 Panetta et al (2006). As they state, the decrease in realised volatility can be explained by the phase of expansion and low inflation experienced in those years.…”

Section: Downloaded By [Northeastern University] At 13:21 20 Decembermentioning

confidence: 97%

“…Also firm specific components, such as the increase in firm's profitability and the reduction in leverage and uncertainty determined the reduction in volatility. For what concerns implied volatility, some financial factors such as the improvement in market liquidity and the increase in the supply of options from institutional investors (hedge funds, investment banks and pension funds), a consequence of the reduction in risk aversion documented in that period (Panetta et al 2006), can have pushed down option prices and in turn implied volatilities. However, the reduction caused by financial factors was lower than that caused by real factors, since implied volatility remains higher than realised volatility also in that period.…”

Section: Downloaded By [Northeastern University] At 13:21 20 Decembermentioning

confidence: 99%

Option-based forecasts of volatility: an empirical study in the DAX-index options market

Muzzioli

2010

The European Journal of Finance

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Volatility estimation and forecasting are essential for both the pricing and the risk management of derivative securities. Volatility forecasting methods can be divided into option-based ones, which use prices of traded options in order to unlock volatility expectations, and time series volatility models, which use historical information in order to predict future volatility. Among option-based volatility forecasts, we distinguish between the 'model-dependent' Black-Scholes implied volatility and the 'model-free' implied volatility, proposed by Britten-Jones and Neuberger [Option prices, implied price processes and stochastic volatility. Journal of Finance 55: 839-66], that does not rely on a particular option pricing model. The aim of this paper is to investigate the unbiasedness and efficiency, with respect to past realised volatility, of the two option-based volatility forecasts. The comparison is pursued by using intra-daily data on the DAX-index options market. Our results suggest that Black-Scholes implied volatility subsumes all the information contained in past realised volatility and is a better predictor for future realised volatility than model-free implied volatility.Black-Scholes implied volatility, model-free implied volatility, volatility forecasting,

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The Recent Behaviour of Financial Market Volatility

Cited by 26 publications

References 45 publications

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Does FOMC news increase global FX trading?

Option-based forecasts of volatility: an empirical study in the DAX-index options market

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