Δείκτες τεκμαρτής μεταβληκότητας και οι ιδιότητες αυτών

This item is provided by the institution :
University of Peiraeus   

Repository :
Dione   

see the original item page
in the repository's web site and access all digital files if the item*



Δείκτες τεκμαρτής μεταβληκότητας και οι ιδιότητες αυτών

Τζαγκαράκη, Αιμιλία

Master Thesis

2006-10-10T11:03:11Z


The present study provides for the first time a comparative analysis of the properties of implied volatility indices, based on an extended data set, incorporating the recently introduced VXD and VSTOXX. The study is structured as follows. First we describe the data set and present the descriptive statistics. We proceed with the study of the informational content of Implied Volatility Indices daily changes for the daily returns of the underlying Stock Indices, investigating the existence of a leverage effect, its symmetry and stability over time. In the same section we apply Granger Causality tests to see whether the time series of the Implied Volatility Indices could help forecast Stock indices returns and vice versa. The international transmission of implied volatility movements will be examined in a Vector Autoregression framework. The second part of our research focuses on the construction and backtesting of Value-at-Risk models for a virtual long position on the S&P500. Results from the Delta Normal Variance-Covariance method are tested against results from the Historical Simulation method using established Backtesting criteria. We particularly concentrate on the performance of the VIX as variance input in the Delta Normal method.


Options (Finance) -- Econometric models
Stochastic processes


http://creativecommons.org/licenses/by-nc-nd/4.0/deed.el
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές




*Institutions are responsible for keeping their URLs functional (digital file, item page in repository site)