{"id":"W3124028486","doi":"10.1016/j.jeconom.2010.03.014","title":"The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets","year":2010,"lang":"en","type":"article","venue":"Journal of Econometrics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":318,"is_retracted":false,"has_abstract":false,"ca_institutions":"Queen's University","funders":"","keywords":"Volatility (finance); Implied volatility; Forward volatility; Volatility smile; Economics; Econometrics; Realized variance; Volatility swap; Volatility risk premium; Foreign exchange; Jump; Endogeneity; Financial economics; Stock (firearms); SABR volatility model; Variance swap; Monetary economics; Engineering","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.005125754,0.0001784314,0.0007290262,0.001075764,0.0001095293,0.00007422054,0.0002333479,0.0002189678,0.00002814755],"category_scores_gemma":[0.001768013,0.0001636887,0.000112118,0.0008444768,0.000107533,0.0004467566,0.0001102146,0.0006993396,4.161217e-7],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00008798997,"about_ca_system_score_gemma":0.00005392838,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0002606039,"about_ca_topic_score_gemma":0.00135043,"domain_scores_codex":[0.9975608,0.00003330378,0.001725881,0.0002904186,0.00006258635,0.0003270412],"domain_scores_gemma":[0.9976032,0.0006381413,0.00125609,0.0002740468,0.0001100785,0.0001183954],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.0002078507,0.00006555604,0.9387144,0.00004932982,0.0000149985,0.000001954613,0.000593686,0.000007167709,0.0000167346,0.0103604,0.00002865253,0.04993921],"study_design_scores_gemma":[0.001127541,0.00009369566,0.7592834,0.00002147661,0.000004825733,0.00001408661,0.0004373757,0.1209243,0.00002260635,0.1124235,0.005497165,0.0001500532],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9832026,0.011697,0.000244778,0.000132188,0.0002522627,0.0002285103,0.00005128338,0.000003034305,0.004188379],"genre_scores_gemma":[0.9965449,0.001813856,0.001460651,0.00001760098,0.0001261907,0.000004705052,0.000001599457,0.00001561496,0.00001488797],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.1794311,"threshold_uncertainty_score":0.667503,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06254119964315805,"score_gpt":0.2252708108383119,"score_spread":0.1627296111951538,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}