Implied volatility index for the Norwegian equity market

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• 作者：Sebastian A. Bugge ; Haakon J. Guttormsen ; Peter Molná ; r ; ^{peto.molnar@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Martin Ringdal
• 关键词：Implied volatility ; OBX index ; VIX ; Volatility forecasting ; Leverage effect
• 刊名：International Review of Financial Analysis
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：47
• 期：Complete
• 页码：133-141
• 全文大小：891 K

文摘

We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created according to the VIX methodology. We compare the NOVIX to the German VDAX-NEW and the U.S. VIX and find that NOVIX has similar properties as these two indices. We also evaluate the VIX, VDAX-NEW and NOVIX in terms of volatility forecasting. As a benchmark model we use a precise HAR model of Corsi (2009) based on high-frequency data. All three implied volatility indices significantly improve daily, weekly and monthly forecasts of volatility of their underlying equity indices. This improvement is largest for the VIX, followed by VDAX-NEW and NOVIX.