This book consists of two chapters that examine the construction of financial market volatility indexes and their forecasting efficiency across predictive regression models. Each ofthe chapter is devoted to different volatility measures which are related and evaluated in the framework of forecasting regressions. The first chapter studies the sampling and liquidity issues in constructing volatility indexes, VIX and VXO, in emerging options market like Taiwan. The second chapter uses high-frequency intraday volatility as a benchmark to measure the efficacy of model-free and model-based econometric models.