Artikel
SEA presidential address: Group connectivity and cooperation
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 showthat daily changes in VIBEXNEW 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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 2 ; Year: 2011 ; Issue: 2 ; Pages: 139-158 ; Heidelberg: Springer
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Contingent Pricing; Futures Pricing; option pricing
International Financial Markets
- Thema
-
model-based volatility index
model-free volatility index
risk
leverage effect
forecasting volatility
Gefangenendilemma
Evolutionäre Spieltheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Urbano, Amparo
- Ereignis
-
Veröffentlichung
- (wer)
-
Springer
- (wo)
-
Heidelberg
- (wann)
-
2011
- DOI
-
doi:10.1007/s13209-011-0066-3
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Urbano, Amparo
- Springer
Entstanden
- 2011
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