Australian Implied Volatility Index

B Frijns, C Tallau, A Tourani-Rad

Research output: Contribution to journalArticleAcademicpeer-review


Volatility implied from option prices is widely regarded as the market's estimate of future expected volatility of the underlying asset. We construct an implied volatility index for the S&P/ASX 200 Index, the AVX, which we find contains important information for predicting volatility of the ASX and significantly outperforms other predictors commonly used.
Original languageEnglish
Pages (from-to)31-35
Number of pages5
JournalJASSA-The Finsia Journal of Applied Finance
Issue number1
Publication statusPublished - 2010
Externally publishedYes


  • S&P/ASX 200 Index
  • Value-at-Risk
  • Options pricing models
  • Stock market volatility


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