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I'm hoping someone can direct me towards any books/papers that approach volatility forecasting from the perspective of market specific events (fed meetings, USDA reports, OPEC announcements etc). From my own study it seems that much of the literature is focused on GARCH and similar models, but one of the reasons I think these models tend to do poorly from an options pricing standpoint is because they neglect significant upcoming events.

I'm aware of implied volatility models with jumps, however I'm more interested in any data driven approaches that may describe a technique for modeling the size of a jump in a given market.

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  • $\begingroup$ You could try reaching out to TradeTheNews they must have experience in this area (I am not affiliated) $\endgroup$ – rupweb Oct 26 '17 at 10:57

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