McAleer, Michael; Wiphatthanananthakul, Chatayan - Department of Economics and Finance, College of … - 2010
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand’s SET50...