Sökning: "Fredrik Reuterhäll"

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  1. 1. Forecast quality of the Swedish Volatility Index

    Magister-uppsats, Företagsekonomiska institutionen

    Författare :Fredrik Reuterhäll; [2005]
    Nyckelord :;

    Sammanfattning : In this paper, I investigate the forecasting power of implied volatility via a new volatility index for the Swedish stock market (SVIX). By implementing the same methodology as the new VIX index originated from CBOE, I examine the information content of implied volatility and appraise the forecast quality of SVIX using two methods. LÄS MER