Combining predictors boosts stock market volatility predictability significantly.
Combining stock market implied volatility and oil volatility can help predict stock return volatility better. Stock market implied volatility is a more significant predictor than oil volatility and other variables. Using both predictors together works better than using them separately or combining their forecasts. This approach is effective even during different business cycles. Tests with different lag lengths and macroeconomic information confirm the efficiency of this forecasting strategy.