Model-free Implied Volatility Index of Japanese Stock Market

Takkabutr, Nattapol

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論文情報

タイトル	Model-free Implied Volatility Index of Japanese Stock Market
著者	Takkabutr, Nattapol Takkabutr, Nattapol
キーワード等	Volatility Index
	Crisis, Financial Crisis
	Option, Option-implied
抄録	This paper empirically studied the model-free implied volatility indices constructed from options prices of the Nikkei 225 index during 2005-2010. The concept of corridor volatility index is compared and contrasted with the methodology of the famous VIX index developed by the Chicago Board Options Exchange (CBOE). The relative corridor widths are found to be able to explain relative variations between volatility indices with different corridors’ widths. Also, the corridor volatility index is found to be the better predictor of the future realized volatility of the underlying stock index.
公開者	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
掲載誌名	Discussion Papers In Economics And Business
巻	13-03
開始ページ	1
終了ページ	32
刊行年月	2013-03
URL	http://hdl.handle.net/11094/24276
関連情報 (references)	http://www2.econ.osaka-u.ac.jp/library/global/dp/1303.pdf
言語	英語

著者版フラグ	none
NII資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
dcmi資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business.13-03 P.1-P.32
DC.title	Model-free Implied Volatility Index of Japanese Stock Market
DC.creator	Takkabutr, Nattapol
DC.publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
DC.language" scheme="DCTERMS.RFC1766	英語
DCTERMS.issued" scheme="DCTERMS.W3CDTF	2013-03
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/24276
DC.subject	Volatility Index
	Crisis, Financial Crisis
	Option, Option-implied
DCTERMS.abstract	This paper empirically studied the model-free implied volatility indices constructed from options prices of the Nikkei 225 index during 2005-2010. The concept of corridor volatility index is compared and contrasted with the methodology of the famous VIX index developed by the Chicago Board Options Exchange (CBOE). The relative corridor widths are found to be able to explain relative variations between volatility indices with different corridors’ widths. Also, the corridor volatility index is found to be the better predictor of the future realized volatility of the underlying stock index.
citation_title	Model-free Implied Volatility Index of Japanese Stock Market
citation_author	Takkabutr, Nattapol
citation_publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
citation_language	英語
citation_date	2013-03
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	13-03
citation_firstpage	1
citation_lastpage	32
citation_public_url	http://hdl.handle.net/11094/24276
citation_keywords	Volatility Index
	Crisis, Financial Crisis
	Option, Option-implied

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