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The forecasting performance of implied volatility index: evidence from India VIX
Shaikh, Imlak; Padhi, Puja - In: Economic Change and Restructuring 47 (2014) 4, pp. 251-274
In this paper, we investigate the forecasting performance of ex-post an ex-ante volatility forecasts against realized return volatility of various time horizon. The competing volatility forecasts are implied volatility, RiskMetrics and GJR-GARCH; the empirical results uncover that implied...
Persistent link: https://www.econbiz.de/10011154923
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The information content of implied volatility index (India VIX)
Shaikh, Imlak; Padhi, Puja - In: Global business perspectives 1 (2013) 4, pp. 359-378
Persistent link: https://www.econbiz.de/10010230219
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The forecasting performance of implied volatility index : evidence from India VIX
Shaikh, Imlak; Padhi, Puja - In: Economic change and restructuring : empirical and … 47 (2014) 4, pp. 251-274
Persistent link: https://www.econbiz.de/10010479120