Abstract
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 language | English |
|---|---|
| Pages (from-to) | 31-35 |
| Number of pages | 5 |
| Journal | JASSA-The Finsia Journal of Applied Finance |
| Issue number | 1 |
| Publication status | Published - 2010 |
| Externally published | Yes |
Keywords
- S&P/ASX 200 Index
- Value-at-Risk
- Options pricing models
- Stock market volatility