Model-free Implied Volatility Index of Japanese Stock Market

Nattapol Takkabutr ()
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Nattapol Takkabutr: Graduate School of Economics, Osaka University

No 13-03, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: This paper empirically studied the model-free implied volatility indices constructed from options prices of the Nikkei 225 index during 2005-2010. The concept of corridor volatility index is compared and contrasted with the methodology of the famous VIX index developed by the Chicago Board Options Exchange (CBOE). The relative corridor widths are found to be able to explain relative variations between volatility indices with different corridors f widths. Also, the corridor volatility index is found to be the better predictor of the future realized volatility of the underlying stock index.

Keywords: Volatility Index; Crisis; Financial Crisis; Option; Option-implied (search for similar items in EconPapers)
JEL-codes: G01 G10 G13 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2013-03
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