SEA presidential address: Group connectivity and cooperation

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 2 ; Year: 2011 ; Issue: 2 ; Pages: 139-158 ; Heidelberg: Springer

Classification and Topics

• Classification: Wirtschaft ; Forecasting Models; Simulation Methods ; Contingent Pricing; Futures Pricing; option pricing ; International Financial Markets
• Subject: model-based volatility index ; model-free volatility index ; risk ; leverage effect ; forecasting volatility ; Gefangenendilemma ; Evolutionäre Spieltheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Urbano, Amparo
• Event: Veröffentlichung
• (who): Springer
• (where): Heidelberg
• (when): 2011

Further information

• DOI: doi:10.1007/s13209-011-0066-3
• Handle: http://hdl.handle.net/10419/77793
• Last update: 10.03.2025, 11:43 AM CET