Essays about: "Volatility clustering"

Showing result 26 - 26 of 26 essays containing the words Volatility clustering.

  1. 26. The Swedish Expected Volatility Index: Construction and Properties

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Maria Dahlman; Madeleine Wallmark; [2007]
    Keywords : volatility index; implied volatility; expected volatility; VIX; volatility forecasting;

    Abstract : In this paper we construct an index, SVIX, measuring the expected 30 calendar day volatility on the Swedish stock market for the time period January 1993 to June 2006. SVIX is constructed from OMX index option prices using the same method as used by the Chicago Board Options Exchange (CBOE) in calculating the CBOE Volatility Index, VIX, and is independent of any option pricing model. READ MORE