McAleer, Michael; Wiphatthanananthakul, Chatayan - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2079-2090
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 Index...