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INDEX VOLATILITY (index + volatility)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting75%

Kinds of INDEX VOLATILITY

  • stock index volatility
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    Selected Abstracts

    FORECASTING STOCK INDEX VOLATILITY: COMPARING IMPLIED VOLATILITY AND THE INTRADAY HIGH,LOW PRICE RANGE

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 2 2007
    Charles Corrado
    Abstract The intraday high,low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high,low range volatility consistently outperforms the other. [source]

    Realize the Realized Stock Index Volatility

    ASIAN ECONOMIC JOURNAL, Issue 1 2004
    Ho-Chuan (River) Huang
    This paper constructs estimates of daily stock index volatilities and correlation using high-frequency (one-minute) intraday stock indices. The key feature of these ,realized' volatilities and correlations is that they are not only model-free but also approximately measurement-error-free. In fact, they can be treated as observed rather than latent, so that direct modeling and forecasting of the realized volatilities can be performed using conventional time series approaches. Some interesting results appear in the analysis. Despite the fact that the unstandardized returns are skewed to the right and have fatter tails than normal, the distributions of the raw returns scaled by the realized standard deviations appear to be approximately Gaussian. The unconditional distributions of the realized variances and covariances are leptokurtic as well as highly right-skewed, but the realized correlation tends to be approximately normally distributed. There is no evidence in support of asymmetric volatility effects commonly found in previous findings. However, we find strong evidence to support the fact that there exists high contemporaneous correlation between realized volatilities and high comovement between realized correlation and volatilities. [source]

    Forecasting stock index volatility

    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 1 2001
    Riccardo Bramante
    Abstract Accurate volatility forecasting is the key to successful risk analysis. In fact, volatility forecasts lie at the centre of many financial systems, such as value at risk modelling and pricing of derivative securities. This paper is concerned with how to construct stock index volatility predictors using the returns histories of the stocks that define the Index. Specifically, our approach presupposes that the total volatility of the index returns can be explained by the volatility of the related components. Copyright © 2001 John Wiley & Sons, Ltd. [source]