Implied volatility index for the Norwegian equity market

Sebastian A. Bugge, Haakon J. Guttormsen, Peter Molnár and Martin Ringdal

International Review of Financial Analysis, 2016, vol. 47, issue C, 133-141

Abstract: 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.

Keywords: Implied volatility; OBX index; VIX; Volatility forecasting; Leverage effect (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:47:y:2016:i:c:p:133-141

DOI: 10.1016/j.irfa.2016.07.007

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