The Behavior of the International Implied Volatility Indexes
5 Pages Posted: 3 Oct 2006
Date Written: 2004
The market's assessment of the underlying asset's volatility as reflected in the option price is known as the implied volatility. Implied volatility indexes were created with the idea to provide an investor fear gauge since they represent a forecast of future average volatility. This article compares the behavior of three implied volatility indexes, the US VIX, the German VDAX and the French VX1.It empirically showed that the VX1 index tends to exagerate the volatility of the French market.
Note: Downloadable document is in French.
Keywords: Implied volatility
JEL Classification: G13
Suggested Citation: Suggested Citation