Sökning: "VSMI"
Hittade 3 uppsatser innehållade ordet VSMI.
1. The Secret Life of Fear: Interdependencies Among Implied Volatilities Represented by different Stock Volatility Indices Treated as Assets
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study focuses on the systemic interdependencies of specified volatility indices, the underlying assets of which are major stock indices of developed financial markets. The volatility indices in question follow the standard VIX specification, and thus give forward-looking 30-day estimates of implied volatilities on each market respectively. LÄS MER
2. Model-Free Implied Volatility, Its Time-Series Behavior And Forecasting Ability
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Several widely acknowledged stylized statistical facts about the performance of volatility were observed during the analysis. First, the volatility exhibits mean-reversion towards its long-run mean. LÄS MER
3. Forecasting Volatility: Evidence From The Swiss Stock Market
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis focuses on the question whether the volatility index of the Swiss Market Index (VSMI) is an adequate predictor of the future realized volatility. Furthermore, the thesis searches for evidence of incremental information within the VSMI in relation to a set of model based forecasts (MBFs) which could describe future realized volatility. LÄS MER