This study examines the information content of modelβfree implied volatility (MFIV) estimates with respect to the options and futures markets in Hong Kong. In this study, the volatility forecasting performance of MFIV is compared, using different prediction horizons, to IV estimates based on Black's
The information content of implied volatility index (India VIX)
β Scribed by Shaikh, Imlak; Padhi, Puja
- Book ID
- 121577186
- Publisher
- Springer-Verlag
- Year
- 2013
- Weight
- 457 KB
- Volume
- 1
- Category
- Article
- ISSN
- 2194-0061
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π SIMILAR VOLUMES
## Abstract This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant timeβtoβmaturity of three months. It is observed that the AVX has a significan
## Abstract In this article we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided b