# Realised volatility

## The real deal: the challenge of real interest rates

### Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders

###### Forecasting the realized volatility of stock markets with financial stress

This paper investigates the impact of financial stress on the predictability of the realized volatility of five stock markets

###### ‘Perfect’ VKO trades knock the smile off vol

Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic

###### How Citi is handling topsy-turvy rates markets

Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies

##### Index vol has been a poor hedge for equity rout, traders say

Single stock ‘micro’ hedges have offered more protection in this year’s selloff

##### Lack of supply keeps short-end euro rates vol high

Hedge funds and corporates rush to hedge potential rises in euro interest rates – but sellers aren’t there, say traders

##### Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.

##### Quants tout alternative carry trades for the ‘new normal’

Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions

##### Review of 2017: All sorts of volatility, bar one

Markets were oddly calm this year, while everything else was in motion

##### A quick tool to forecast value-at-risk using implied and realized volatilities

The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.

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