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The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks

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  • John F. Garvey
  • Liam A. Gallagher

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  • John F. Garvey & Liam A. Gallagher, 2012. "The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(7), pages 639-660, November.
    • Handle: RePEc:wly:jforec:v:31:y:2012:i:7:p:639-660
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    Citations

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    Cited by:

    1. Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019. "Implied volatility surface predictability: The case of commodity markets," Journal of Banking & Finance, Elsevier, vol. 108(C).
    2. Max Schreder, 2018. "Volatility forecasting in practice: exploratory evidence from European hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 245-258, July.
    3. Baruník, Jozef & Dvořáková, Sylvie, 2015. "An empirical model of fractionally cointegrated daily high and low stock market prices," Economic Modelling, Elsevier, vol. 45(C), pages 193-206.
    4. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
    5. Kearney, Fearghal & Murphy, Finbarr & Cummins, Mark, 2015. "An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 199-216.
    6. Leandro Maciel, 2020. "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, vol. 58(4), pages 1513-1540, April.
    7. Garvey, John & Gallagher, Liam A., 2013. "The economics of data: Using simple model-free volatility in a high-frequency world," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 370-379.
    8. Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
    9. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
    10. Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
    11. Choi, Jaewon & Richardson, Matthew, 2016. "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, vol. 121(2), pages 254-277.
    12. Bumho Son & Yunyoung Lee & Seongwan Park & Jaewook Lee, 2023. "Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1539-1559, November.

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