Hang Seng Index Volatility (VHSI) is a new barometer to research the variance of Hang Seng Index (HSI). This paper first explores how VHSI changes are influenced by HSI returns dynamically. The time-varying coefficients achieved by Kalman filter indicate a negative and asymmetric contemporaneous...

This paper investigates whether implied volatility index can be predicted and whether the prediction of implied volatility index can improve option trading performances by checking Hang Seng Index Volatility (VHSI). The results indicate that VHSI can be predicted more accurately when considering...