New method predicts market volatility jumps, revolutionizing financial risk management.
The article explores how volatility in financial markets behaves, focusing on its asymmetry. The researchers use new methods to analyze volatility jumps and develop a model that captures volatility dynamics accurately. By studying VIX and S&P index data, they find that volatility movements are best described by a specific type of mathematical model. This model suggests that volatility changes are driven by sudden jumps rather than gradual shifts, with a balanced distribution around zero.