Artikel
Cross-sectional volatility index as a proxy for the VIX in an Asian market
We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied to measure the volatility when no derivatives market exists. We formulate this volatility index based on observable and model-free volatility measures. We provide a statistical argument to support that an equally weighted measure of average idiosyncratic variance would forecast market return and show that this measure displays a sizable correlation with economic uncertainty.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-15 ; Abingdon: Taylor & Francis
- Klassifikation
-
Wirtschaft
- Thema
-
cross-sectional volatility index
proxy VIX
idiosyncratic risk
GARCH forecast volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fadzil, Futeri Jazeilya Md
O'Hara, John G.
Ng, Wing Lon
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2017
- DOI
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doi:10.1080/23322039.2017.1364011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Fadzil, Futeri Jazeilya Md
- O'Hara, John G.
- Ng, Wing Lon
- Taylor & Francis
Entstanden
- 2017
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