The behavior of option’s implied volatility index: a case of India VIX

The behavior of option’s implied volatility index: a case of India VIX

The aim of this paper is to investigate the behavior of implied volatility in the form of day-of-the-week, year-of-the-month and surround the expiration of options. The persistence of volatility is modeled in ARCH/GARCH type framework. The empirical results have shown significant effects of the day-...

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Bibliographic Details
Main Authors: Imlak Shaikh, Puja Padhi
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2015-06-01
Series:Business: Theory and Practice
Subjects:
implied volatility
India VIX
IVIX
day-of-the-week
options expiration
month-of-the-year
Online Access:https://journals.vgtu.lt/index.php/BTP/article/view/8279

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