Cross-sectional volatility index as a proxy for the VIX in an Asian market
We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied to measure the volatility when no derivatives...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2017-01-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2017.1364011 |
| _version_ | 1828959797751316480 |
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| author | Futeri Jazeilya Md Fadzil John G. O’Hara Wing Lon Ng |
| author_facet | Futeri Jazeilya Md Fadzil John G. O’Hara Wing Lon Ng |
| author_sort | Futeri Jazeilya Md Fadzil |
| collection | DOAJ |
| description | We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied to measure the volatility when no derivatives market exists. We formulate this volatility index based on observable and model-free volatility measures. We provide a statistical argument to support that an equally weighted measure of average idiosyncratic variance would forecast market return and show that this measure displays a sizable correlation with economic uncertainty. |
| first_indexed | 2024-12-14T09:14:10Z |
| format | Article |
| id | doaj.art-c4cb26337cc349c19c1020e3a0db5806 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-14T09:14:10Z |
| publishDate | 2017-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-c4cb26337cc349c19c1020e3a0db58062022-12-21T23:08:29ZengTaylor & Francis GroupCogent Economics & Finance2332-20392017-01-015110.1080/23322039.2017.13640111364011Cross-sectional volatility index as a proxy for the VIX in an Asian marketFuteri Jazeilya Md Fadzil0John G. O’Hara1Wing Lon Ng2CCFEA, University of EssexCCFEA, University of EssexBRACILWe present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied to measure the volatility when no derivatives market exists. We formulate this volatility index based on observable and model-free volatility measures. We provide a statistical argument to support that an equally weighted measure of average idiosyncratic variance would forecast market return and show that this measure displays a sizable correlation with economic uncertainty.http://dx.doi.org/10.1080/23322039.2017.1364011cross-sectional volatility indexproxy vixidiosyncratic riskgarch forecast volatility |
| spellingShingle | Futeri Jazeilya Md Fadzil John G. O’Hara Wing Lon Ng Cross-sectional volatility index as a proxy for the VIX in an Asian market Cogent Economics & Finance cross-sectional volatility index proxy vix idiosyncratic risk garch forecast volatility |
| title | Cross-sectional volatility index as a proxy for the VIX in an Asian market |
| title_full | Cross-sectional volatility index as a proxy for the VIX in an Asian market |
| title_fullStr | Cross-sectional volatility index as a proxy for the VIX in an Asian market |
| title_full_unstemmed | Cross-sectional volatility index as a proxy for the VIX in an Asian market |
| title_short | Cross-sectional volatility index as a proxy for the VIX in an Asian market |
| title_sort | cross sectional volatility index as a proxy for the vix in an asian market |
| topic | cross-sectional volatility index proxy vix idiosyncratic risk garch forecast volatility |
| url | http://dx.doi.org/10.1080/23322039.2017.1364011 |
| work_keys_str_mv | AT futerijazeilyamdfadzil crosssectionalvolatilityindexasaproxyforthevixinanasianmarket AT johngohara crosssectionalvolatilityindexasaproxyforthevixinanasianmarket AT winglonng crosssectionalvolatilityindexasaproxyforthevixinanasianmarket |