• Anglický jazyk

The Information Content of Canadian Implied Volatility Indexes

Autor: Chunrong Wang

This book compares the efficacy of Black-Scholes implied volatility with model-free implied volatility in providing volatility forecasts in the framework of Canadian S&P/TSX 60 stock index option. In-sample volatility forecasts show that both MVX and VIXC... Viac o knihe

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O knihe

This book compares the efficacy of Black-Scholes implied volatility with model-free implied volatility in providing volatility forecasts in the framework of Canadian S&P/TSX 60 stock index option. In-sample volatility forecasts show that both MVX and VIXC significantly improve the fit of a GJR-GARCH(1,1) model. However, VIXC dominates MVX for predicting future volatility. Out-of-sample volatility forecasts also indicate that VIXC outperforms MVX for the 1-, 5-, 10-, and 22-day forecasting horizons. we also investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices.We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts.

  • Vydavateľstvo: LAP LAMBERT Academic Publishing
  • Rok vydania: 2012
  • Formát: Paperback
  • Rozmer: 220 x 150 mm
  • Jazyk: Anglický jazyk
  • ISBN: 9783659170959

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