Bentes, Sonia R; Menezes, Rui - Volkswirtschaftliche Fakultät, … - 2012
This paper examines the behavior of several implied volatility indexes in order to compare them with the volatility … measure to assess the market expectations of the future volatility of the underlying asset is the implied volatility (IV … underlying asset. Sometimes called the “investor fear gauge”, the IV indexes are a measure of the implied volatility of the …