Hi.In options markets I notice that when the stock is moving sharply down ..the quotes of the market makers jumps immediatelly to higher volatility and they quote with temporary with this higher volatility until the market calms down. I have a question , is there any model that incorporates such a behaviour of rising volatilities with the market or is there any paper that discuss that. I would like to more understand the automation behind the rising IV during these intraday periods and possibly the magnitude of moves. I know the idea of widening quotes but how can i model rising IV when this occurs ? Sorry if this is basic question but I am just curious.RegardsMichael

Sounds consistent with many models: GJR-GARCH, stoch. vol. with correlation, etc. So, you could model it with those, probably breaking up the vol. into shorter-term and longer-term components,which is discussed in various papers that can be found by googling.