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Discussion Papers In Economics And Business.13-03 p.1-p.32

Model-free Implied Volatility Index of Japanese Stock Market

Takkabutr, Nattapol

Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University

英語

text

2013-03

http://www2.econ.osaka-u.ac.jp/library/global/dp/1303.pdf

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.

Model-free Implied Volatility Index of Japanese Stock Market

Takkabutr, Nattapol

Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University

英語

2013-03

Discussion Papers In Economics And Business

13-03

1

32

https://hdl.handle.net/11094/24276

http://www2.econ.osaka-u.ac.jp/library/global/dp/1303.pdf