Essays about: "VSMI"

Found 3 essays containing the word VSMI.

  1. 1. The Secret Life of Fear: Interdependencies Among Implied Volatilities Represented by different Stock Volatility Indices Treated as Assets

    University essay from Göteborgs universitet/Graduate School

    Author : Saku Nousiainen; [2010-11-05]
    Keywords : Dynamic Conditional Correlation; Implied Volatility; MGARCH; Risk Management; Time Series Analysis; Volatility Index; Volatility Spillover;

    Abstract : This study focuses on the systemic interdependencies of specified volatility indices, the underlying assets of which are major stock indices of developed financial markets. The volatility indices in question follow the standard VIX specification, and thus give forward-looking 30-day estimates of implied volatilities on each market respectively. READ MORE

  3. 2. Model-Free Implied Volatility, Its Time-Series Behavior And Forecasting Ability

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Olena Mickolson; [2010]
    Keywords : implicit volatility; historical volatility; model-free implied volatility; VSMI; VSTOXX; Business and Economics;

    Abstract : Several widely acknowledged stylized statistical facts about the performance of volatility were observed during the analysis. First, the volatility exhibits mean-reversion towards its long-run mean. READ MORE

  4. 3. Forecasting Volatility: Evidence From The Swiss Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dennis Artur Huber; Jacob Persson; [2010]
    Keywords : volatility; implied volatility; SMI; VSMI; model based forecasts; Business and Economics;

    Abstract : This thesis focuses on the question whether the volatility index of the Swiss Market Index (VSMI) is an adequate predictor of the future realized volatility. Furthermore, the thesis searches for evidence of incremental information within the VSMI in relation to a set of model based forecasts (MBFs) which could describe future realized volatility. READ MORE