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.
|Number of pages||5|
|Journal||JASSA-The Finsia Journal of Applied Finance|
|Publication status||Published - 2010|
- S&P/ASX 200 Index
- Options pricing models
- Stock market volatility