Forecast quality of the Swedish Volatility Index
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 q...
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| Format: | Others |
| Language: | English |
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Stockholms universitet, Företagsekonomiska institutionen
2005
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6007 |