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Growing literature has documented that Internet search activity is associated with volatility in the financial and commodity markets. We reexamine the role of the Internet search activity in the context of volatility prediction in these markets. We broaden the scope by including three traditional predictors (returns, trading volume and implied volatility) and by using not only in-sample but also out-of-sample analysis. We find that implied volatility plays a crucial role in evaluating the contribution of Internet search activity data. Our results show that the predictive role of the Internet search activity data disappears in the stock index and foreign exchange markets and substantially declines in the commodity markets once implied volatility is included in the benchmark model. This finding contributes to our understanding of what informational content is captured by the Internet search activity data. It appears to capture similar information as implied volatility.

Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility