Results 11 to 20 of about 186,810 (309)

On the relationship of implied, realized and historical volatility: evidence from NSE equity index options

Journal of Business Economics and Management, 2014
This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples ...
Puja Padhi, Imlak Shaikh
doaj   +1 more source

The Cross-Sectional Intrinsic Entropy—A Comprehensive Stock Market Volatility Estimator

Entropy, 2022
To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic entropy model.
Claudiu Vințe, Marcel Ausloos
doaj   +1 more source

Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy

Risks, 2022
Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This study evaluates the influence of various global implied volatility indices in forecasting the day-to-day binary movements in the ...
Akhilesh Prasad, Priti Bakhshi
doaj   +1 more source

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

Borsa Istanbul Review, 2022
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
doaj   +1 more source

THE INFLUENCE OF COCOA PRICE VOLATILITY (Theobroma cacao L.) TO COCOA EXPORTS IN INDONESIA

AGRISE, 2019
Production or supply of domestic cocoa cannot fulfil the demand for cocoa in domestic and international markets. Furthermore, there were many old cocoa plants, damaged, unproductive and attacked by pests and diseases with mild, medium to serious ...
Dessanty Fauziah Widayat, Ratya Anindita, Putri Budi Setyowati   +2 more
doaj   +1 more source

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options

Journal of Agricultural and Resource Economics, 2006
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
doaj   +1 more source

Equity Risk: Measuring Return Volatility Using Historical High-Frequency Data

Studies in Business and Economics, 2019
Market Volatility has been investigated at great lengths, but the measure of historical volatility, referred to as the relative volatility, is inconsistent.
Alan Chow, Kyre Lahtinen
doaj   +1 more source

Implied Volatility of Call Options and Abnormal Stock Returns: Evidence From Quantile Analysis of Abnormal Return Determinants [PDF]

Mathematics and Modeling in Finance
The present study aims to assess the impact of implied volatility (IV) extracted from call option prices on abnormal stock returns. IV, as a critical market volatility index, plays an essential role in explaining investor behavior.
Sayyede Elnaz Afzaliyan Boroujeni, Abdolmajid Abdolbaghi Ataabadi, Naser Khani   +2 more
doaj   +1 more source

Pricing options with dual volatility input to modular neural networks

Borsa Istanbul Review, 2020
Tested is the choice of the volatility input to the artificial neural networks in the process of pricing options. Numerous studies concluded the weaknesses of Black-Scholes model use as a pricing tool in the market.
Sadi Fadda
doaj   +1 more source

Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices

Stats, 2023
In this paper, we conducted an empirical investigation of the realized volatility of cryptocurrencies using an econometric approach. This work’s two main characteristics are: (i) the realized volatility to be forecast filters jumps, and (ii) the benefit ...
Julien Chevallier, Bilel Sanhaji
doaj   +1 more source