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The Relationships between Implied Volatility Indexes and Spot Indexes

โœ Scribed by Chiang, Shu-Mei


Book ID
119361084
Publisher
Elsevier
Year
2012
Tongue
English
Weight
238 KB
Volume
57
Category
Article
ISSN
1877-0428

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The forecast quality of CBOE implied vol
โœ Charles J. Corrado; Thomas W. Miller; Jr. ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 340 KB

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 199