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The Information Content of Canadian Implied Volatility Indexes: the Efficacy of Black-scholes Implied Volatility and Model-free Implied Volatility
Chunrong Wang
The Information Content of Canadian Implied Volatility Indexes: the Efficacy of Black-scholes Implied Volatility and Model-free Implied Volatility
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 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.
Media | Books Paperback Book (Book with soft cover and glued back) |
Released | August 17, 2012 |
ISBN13 | 9783659170959 |
Publishers | LAP LAMBERT Academic Publishing |
Pages | 88 |
Dimensions | 150 × 5 × 226 mm · 149 g |
Language | German |
See all of Chunrong Wang ( e.g. Paperback Book )