Irregularities in forward-looking volatility

Research output: Contribution to journalArticlepeer-review


We investigate the behavior of 30-day forward-looking volatility derived from options on market indices, commodities and individual active stocks using a wide range of seasonal and calendar anomalies documented empirically in the finance literature. Our findings indicate the consistent and systematic absence of irregularities in the majority of the examined effects because, in general, the volatility indices remain unaffected by seasonal and calendar effects. However, we detect robust and significant weekday seasonality, within-the-month, turn-of-the-month, pre-holiday, and intra-quarter effects. For investors interested in buying or selling volatility products, our findings may be useful in timing their transactions.

Original languageEnglish
Pages (from-to)489-501
Number of pages13
JournalQuarterly Review of Economics and Finance
StatePublished - 1 Nov 2022
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2022 Board of Trustees of the University of Illinois


  • Calendar anomalies
  • ETNs
  • Seasonality
  • VIX
  • VIX futures
  • Volatility products

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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