The jump component of S&P 500 volatility and the VIX index
نویسندگان
چکیده
منابع مشابه
NCER Working Paper Series The Jump component of S&P 500 volatility and the VIX index
Much research has investigated the differences between option implied volatilities and econometric model-based forecasts in terms of forecast accuracy and relative informational content. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing to generate forecasts. Therefore, implied volatility has the potential to reflect in...
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An estimation method is developed for extracting the latent stochastic volatility from VIX, a volatility index for the S&P 500 index return produced by the Chicago Board Options Exchange (CBOE) using the so-called model-free volatility construction. Our model specification encompasses all mean-reverting stochastic volatility option pricing models with a constant-elasticity of variance and those...
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Implied volatility indices are becoming increasingly popular as a measure of market uncertainty and as a vehicle for developing derivative instruments to hedge against unexpected changes in volatility. Although jumps are widely considered as a salient feature of volatility, their implications for volatility options and futures are not yet fully understood. This paper provides evidence indicatin...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2009
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2008.10.015