Results 191 to 200 of about 2,929 (231)

Modeling and Forecasting the VIX Index

SSRN Electronic Journal, 2007
This paper models the implied volatility of the S&P 500 index, with the aim of producing useful forecasts for option traders. Numerous time-series models of the VIX index are estimated, and daily out-of-sample forecasts are calculated from all relevant models. The directional accuracy of the forecasts is evaluated with market-timing tests.
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Fix the VIX: A quantum perspective on the fear index

Wilmott, 2023
From a quantum perspective, the most worrying aspect of the VIX is its mathematical construction.
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An Empirical Model of India's Nifty VIX Index

Indian Journal of Finance, 2015
As implied volatility is essential for pricing options, analyzing derivative strategies and measuring risk in investment portfolios containing derivatives, and understanding variations in implied volatility also becomes vital. Aside from a secular trend, volatility clustering and calendar effects are two commonly occurring sources of such variation. To
Ronald T. Slivka, Shuang Gao, Jie Ren
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Emerging versus Developed Volatility Indexes: The Comparison of VIW20 and VIX Index

SSRN Electronic Journal, 2008
Modeling of financial markets volatility is one of the most significant issues of contemporary finance, especially while analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk management (VaR models, stress testing and worst case scenario), models of capital market and options valuation ...
Robert Slepaczuk, Grzegorz Zakrzewski
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The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation

European Financial Management, 2016
ABSTRACTThe CBOE VIX index is a widely recognised benchmark measure of expected stock market volatility. As shown in the literature, probability distributions other than Gaussian are key features required to describe the dynamics of the S&P 500, the variable that ultimately determines the VIX index level.
Simon Lalancette, Jean‐Guy Simonato
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Reasonable evaluation of VIX options for the Taiwan stock index

The North American Journal of Economics and Finance, 2019
Abstract This study aims to reasonably evaluate VXO (volatility index option) prices on the Taiwan stock index using four popular pricing models, namely, Black-Scholes (BS), square root (SQR), log-normal Ornstein-Uhlenbeck (LOU), and GARCH models.
Hung-Hsi Huang, Shin-Hung Lin, Chiu-Ping Wang   +2 more
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Analysis of the Relationship Between the VIX Index and the Stock Index

STRATEGICA 2024 – Innovation and Responsibility: Leading People and Building Sustainable Economies
The paper analyzes the role of the VIX (Volatility Index) and its impact on financial markets, focusing on how changes in this index influence investors and stock indices. The VIX, or volatility index, measures the expected volatility of financial markets and reflects investor sentiment regarding short-term economic uncertainty.
Maria-Cristina ZWAK-CANTORIU, Lucian Claudiu ANGHEL, Pompei MITITEAN   +2 more
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A portfolio insurance strategy for volatility index (VIX) futures

The Quarterly Review of Economics and Finance, 2016
Abstract This paper proposes a methodology using VIX futures as an investment asset while controlling downside risk. For this purpose, three portfolio insurance ( PI) strategies are built by using option-based portfolio insurance ( OBPI) and constant proportion ( CPPI) for VIX futures.
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Thoughts on the VIX Fear Index

AbstractThe VIX is the standard deviation of the implied volatility of S&P500 index options that are close to the money and not far into the future. Put options dominate in the various VIX calculations for the US equity and other markets. High put prices lead to high fear reflected through high VIX values.
Rachel E. S. Ziemba, William T. Ziemba
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Forecasting the Forecaster: Relationship between VIX Futures and Spot VIX Indexes

2023
Arun Narayanasamy, Humnath Panta, Rohit Agarwal   +2 more
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