Implied volatility indexes and daily value at risk models

Journal of Derivatives

Volumn 12, Issue 4, 2005, Pages 54-64

  Giot, Pierre ^a,b  

^a UNIVERSITY OF NAMUR   (Belgium)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33947608208     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2005.517186     Document Type: Article

References (27)

1. Alexander, C. Market Models. New York: Wiley, 2001.
2. Berkowitz, J., and J. O'Brien. "How Accurate are Value-at-Risk Models at Commercial Banks?" Journal of Finance, 57(2002), pp. 1093-1112.
3. Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81(1973), pp. 637-659.
4. Blair, B., S. Poon, and S. Taylor. "Forecasting S&P100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns." Journal of Econometrics, 105(2001), pp. 5-26.
5. Canina, L., and S. Figlewski. "The Information Content of Implied Volatility." The Review of Financial Studies, 6(1993), pp. 659-681.
6. Christensen, B., and N. Prabhala. "The Relation Between Implied and Realized Volatility." Journal of Financial Economics, 50(1998), pp. 125-150.
7. Christoffersen, P. "Evaluating Interval Forecasts." International Economic Review, 39(1998), pp. 841-862.
8. Day, T., and C. Lewis. "Stock Market Volatility and the Information Content of Stock Index Options." Journal of Econometrics, 52(1992), pp. 267-287.
9. Dowd, K. Measuring Market Risk. New York: Wiley, 2002.
10. Ederington, L., and W. Guan. "Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility?" Journal of Risk, 4(2002), pp. 29-46.
11. Figlewski, S. "Forecasting Volatility." Financial Markets, Institutions and Instruments, 6(1997), pp. 2-87.
12. Fleming, J., B. Ostdiek, and R. Whaley. "Predicting Stock Market Volatility: A New Measure." Journal of Futures Markets, 15(1995), pp. 265-302.
13. Giot, P. "The Information Content of Implied Volatility in Agricultural Commodity Markets." Journal of Futures Markets, 23(2003), pp. 441-454.
14. Giot, P., and S. Laurent. "Modeling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models." Journal of Empirical Finance, 11(2004), pp. 379-398.
15. -. "Value-at-Risk for Long and Short Trading Positions." Journal of Applied Econometrics, 18(2003), pp. 641-664.
16. Glosten, L., R. Jagannathan, and D. Runkle. "On the Relation Between Expected Excess Return on Stocks." Journal of Finance, 48(1993), pp. 1779-1801.
17. Jorion, P. "Predicting Volatility in the Foreign Exchange Market." Journal of Finance, 50(1995), pp. 507-528.
18. -. Value-at-Risk. New York: McGraw-Hill, 2000.
19. Kupiec, P. "Techniques for Verifying the Accuracy of Risk Measurement Models." The Journal of Derivatives, 2(1995), pp. 173-184.
20. Lamoureux, C., and C. Lastrapes. "Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities." The Review of Financial Studies, 6(1993), pp. 293-326.
21. Martens, M., and J. Zein. "Predicting Financial Volatility: High-Frequency Time-Series Forecasts vis-à-vis Implied Volatility." Journal of Futures Markets, 24(2004), pp. 1005-1028.
22. Neely, C. "Forecasting Foreign Exchange Volatility: Is Implied Volatility the Best We Can Do?." Working Paper 2002-017, Federal Reserve Bank of St. Louis, 2002.
23. "The New CBOE Volatility Index-VIX." Available at: http://www.cboe.com.
24. Poon, S., and C. Granger. "Forecasting Volatility in Financial Markets: A Review." Journal of Economic Literature, 41(2003), pp. 478-539.
25. Whaley, R. "Derivatives on Market Volatility: Hedging Tools Long Overdue." The Journal of Derivatives, 1(1993), pp. 71-84.
26. -. "The Investor Fear Gauge." The Journal of Portfolio Management, 26(2000), pp. 12-17.
27. Xu, X., and S. Taylor. "Conditional Volatility and the Informational Efficiency of the PHLX Currency Options Market." Journal of Banking and Finance, 19(1995), pp. 803-821.