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The Model-Free Implied Volatility and Its Information Content

✍ Scribed by Jiang, George J. (author);Tian, Yisong S. (author)

Book ID
118149295
Publisher
Oxford University Press
Year
2005
Tongue
English
Weight
312 KB
Volume
18
Category
Article
ISSN
0893-9454

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## 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 time‐to‐maturity of three months. It is observed that the AVX has a significan