The information content in a volatility index for Spain
| Autor: | Alfonso Novales Cinca, Maria T. Gonzalez-Perez |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
Variance swap
model-based volatility index Realized variance Financial economics Autoregressive conditional heteroskedasticity ARCH-Modell leverage effect Implied volatility Volatility risk premium forecasting volatility model-free volatility index Conditional volatility Volatility swap ddc:330 Economics Forward volatility Econometrics Prognoseverfahren C53 risk Spanien Volatility index Stochastic volatility G13 Financial market G15 Börsenkurs Volatilität Volatility smile Indexberechnung Stock market Volatility (finance) General Economics Econometrics and Finance |
| Zdroj: | SERIEs. 2:185-216 |
| ISSN: | 1869-4195 1869-4187 |
| DOI: | 10.1007/s13209-010-0031-6 |
| Popis: | A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market. We use a public data set of daily option prices to compute this index and show that daily changes in VIBEX-NEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately symmetric to the sign on VIBEX-NEW changes and asymmetric to the IBEX-35 returns sign, which make it clearly a suitable volatility index for the Spanish stock market. We also examine the relationship between current VIBEX-NEW and future IBEX-35 volatility. Our results suggest that VIBEX-NEW can be used to produce IBEX-35 volatility forecasts at least as good as historical and conditional volatility measures. A feasible volatility correction methodology is proposed to achieve it. |
| Databáze: | OpenAIRE |
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