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In Search of a Better Volatility
| Content Provider | Scilit |
|---|---|
| Author | Kotite, Firas Kownatzki, Clemens |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal We derive an alternative volatility index from options on E-Mini S&P 500 futures and compare it with the VIX to see which index could provide a more efficient measure of volatility and risk. VCME, our alternative volatility measure, and the VIX are very similar in price and trend, are quite efficient at forecasting future volatility in the short-term, but lose their effectiveness over longer periods of time. We do not find any meaningful relationship with volatility and future stock returns. However, we propose that VCME may be more attractive to a financial institution seeking responsive risk measures, while on average generating less deviations from actual volatility at any time frame from 1 to 21 days forward. |
| Related Links | https://digitalcommons.pepperdine.edu/cgi/viewcontent.cgi?article=1003&context=graziadiowps https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2935267 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2935267 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-03-17 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
