NISHINA, Kazuhiko; MAGHREBI, Tatsuro Nabil; KIM, Moo-Sung - Graduate School of Economics, Osaka University - 2006
This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in … construction to the new VIX based on the S&P 500 index. It also examines the stochastic dynamics of the implied volatility index … and its relationship with realized volatility in both markets. There is evidence that implied volatility is governed by a …