This study examines the usefulness of model-free implied volatility indices as measures of risk during financial crises. The Nikkei225 volatility index is constructed to provide new evidence from the Japanese market in addition to VDAX and VIX indices. These volatility benchmarks are indicative of the anticipated risk and magnitude of crises in light of preceding ones. There is evidence of information content beyond that conveyed by historical returns even under greater uncertainty. The model-free inferences tend to be associated with better out-of-sample forecasting accuracy. The incremental information and forecasting ability are not impaired by increasing levels of risk and uncertainty.
JEL Classification: C52, C53, G14
Keywords: Model-free inferences, Nikkei225 volatility index, Financial crises, Out-of-sample forecasts
학회소식
학회소식
[2010년 제 4차] Model-Free Volatility Expectations and Risk Percept
작성자 : 관리자
조회수 : 782
게시일 :
2010-12-09