Volatility of volatility is (also) rough
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.21995
Abstract: Using high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset… read more here.
Keywords: volatility volatility; volatility also; also rough; volatility ... See more keywords
Does the volatility of volatility risk forecast future stock returns?
Sign Up to like & getrecommendations! Published in 2019 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2019.02.001
Abstract: This study investigates whether the forward-looking volatility of aggregate volatility (VOV) risk forecasts future stock returns in the US equity market. We find that stocks with higher sensitivities to changes in VOV constructed from VIX… read more here.
Keywords: stock returns; future stock; volatility; risk ... See more keywords