کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084509 1477906 2016 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Implied volatility index for the Norwegian equity market
ترجمه فارسی عنوان
شاخص نوسانات احتمالی برای بازار سهام نروژی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created according to the VIX methodology. We compare the NOVIX to the German VDAX-NEW and the U.S. VIX and find that NOVIX has similar properties as these two indices. We also evaluate the VIX, VDAX-NEW and NOVIX in terms of volatility forecasting. As a benchmark model we use a precise HAR model of Corsi (2009) based on high-frequency data. All three implied volatility indices significantly improve daily, weekly and monthly forecasts of volatility of their underlying equity indices. This improvement is largest for the VIX, followed by VDAX-NEW and NOVIX.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 47, October 2016, Pages 133-141
نویسندگان
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