The Information Content of Canadian Implied Volatility Indexes: the Efficacy of Black-scholes Implied Volatility and Model-free Implied Volatility - Chunrong Wang - Books - LAP LAMBERT Academic Publishing - 9783659170959 - August 17, 2012
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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

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The Information Content of Canadian Implied Volatility Indexes: the Efficacy of Black-scholes Implied Volatility and Model-free Implied Volatility

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