The Information Content of ASX SPI 200 Implied Volatility

Hassan Tanha and Michael Dempsey ()
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Hassan Tanha: College of Business, Victoria University, P.O. Box 14428, Melbourne 8001, Australia
Michael Dempsey: School of Economics, Finance and Marketing, RMIT University, Melbourne VIC 3000, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2016, vol. 19, issue 01, 1-14

Abstract: In Australia, the equivalent of a US VIX indicator has recently become available. In response, we consider whether the information captured in the implied volatility of options on the Australian SPI 200 Futures index is superior to the information content of a generalized autoregressive conditional heteroskedasticity (GARCH) approach to volatility prediction. We conclude that the implied volatility of at-the-money (ATM) call options on the SPI 200 Index futures is more powerful, dominating other modes of moneyness options as well as GARCH predictions.

Keywords: Implied volatility; VIX; volatility forecasts; informational efficiency (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1142/S0219091516500028

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