The Behavior of the International Implied Volatility Indexes

5 Pages Posted: 3 Oct 2006

See all articles by Sofiane Aboura

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Date Written: 2004

Abstract

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

Aboura, Sofiane, The Behavior of the International Implied Volatility Indexes (2004). Available at SSRN: https://ssrn.com/abstract=934548 or http://dx.doi.org/10.2139/ssrn.934548

Sofiane Aboura (Contact Author)

Université Paris XIII Nord - Department of Economics and Management ( email )

99 avenue Jean-Baptiste
Clément, Villetaneuse 93430
France

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