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dc.contributor.authorWang, Chunrong
dc.date.accessioned2012-04-03T15:42:36Z
dc.date.available2012-04-03T15:42:36Z
dc.date.issued2012-04-03
dc.identifier.urihttp://hdl.handle.net/10464/3956
dc.description.abstractFor predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) whether implied volatility outperforms historical volatilities. In this thesis, we address these two issues using the Canadian financial data. First, we examine the information content and forecasting power between VIXC - a model free implied volatility, and MVX - a model-based implied volatility. The GARCH in-sample test indicates that VIXC subsumes all information that is reflected in MVX. The out-of-sample examination indicates that VIXC is superior to MVX for predicting the next 1-, 5-, 10-, and 22-trading days' realized volatility. Second, we investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices. We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts. We conclude that VIXC cannot incorporate all information contained in historical index prices for predicting future volatility.en_US
dc.publisherBrock Universityen_US
dc.subjectRisk managementen_US
dc.subjectLiquidity (Economics)en_US
dc.subjectRate of returnen_US
dc.titleThe information content of Canadian implied volatility indexesen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
refterms.dateFOA2021-08-07T02:46:45Z


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