Relationship between VIX and Stochastic Volatility

• Main Authors: Yu-Jie Lin, 林于傑
• Other Authors: Jung-Hsien Chang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/86540448870858623419

碩士 === 國立暨南國際大學 === 財務金融學系 === 104 === This study investigated the information content of volatility in the stock market. We used the approach of Javaheri (2005) and Zhang and Zhu(2006) to estimate implied volatility and conducted the empirical analysis with the historical volatility (HV) and the Volatility index (VIX). The empirical results indicated that volatility index is the best forecast for realized volatility in U.S. market, and historical volatility is the best forecast for realized volatility in Taiwan market. The implied volatility from option market performs better than implied volatility from stock market in forecasting realized volatility in U.S. market. Contrary U.S. market, the implied volatility from stock market has more explanatory power in forecasting realized volatility in Taiwan market. Overall, implied volatility does contain information in forecasting realized volatility in both U.S. and Taiwan market.