Implied volatility key in predicting future market volatility.
The study looked at how implied volatility, leverage effect, overnight returns, and volatility of realized volatility can help predict future stock market volatility. Implied volatility is found to be crucial for forecasting realized volatility, outperforming more complex models. Overnight returns and leverage effect are important for some markets, but the volatility of realized volatility doesn't add much value for most stock markets.