I provide, in this paper, evidence on the contribution of crude oil excess volatility to the volatility index. Crude oil leads the volatility index by 16 basis points (BP) 6 months ahead of time. This leadership is reversal ...

We investigate the relationship between the fundamental and the transitory variance. We study how the transitory variance deviates from the fundamental variance. We use the Gonzalo and Granger (1995) permanent-temporary ...