A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

We provide evidence suggesting that the assumption on the probability distribution for return innovations is more influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently proposed asymmetric probability distributions and the...

Two volatility indexes, VIBEX and VIBEX-NEW, are calculated for the Spanish financial market by using a non-model free, and a model free methodology, respectively. VIBEX-NEW index is worthy of being chosen first, due to liquidity problems in Spanish option market on IBEX35. Daily changes in...