The Implied Volatility Analysis: The South African Experience

Romuald N. Kenmoe S and Carine D. Tafou

Papers from arXiv.org

Abstract: In this paper, we analyse the South African implied volatility in various setting. We assess the information content in SAVI implied volatility using daily markets data. Our empirical application is focused on the FTSE/JSE Top 40 index and we emphasize our models performance in distinct sub-periods. Our results are compared with VIX/VXN and S&P 500/NASDAQ 100 data in some points which are taken as our benchmark. We find a significant negative relationship between returns and volatility, in line with the results found in other markets. Finally, the link between SAVI, VIX and VXN are undertaken to examine the equity market transmission with respect to uncertainty.

Date: 2014-03
New Economics Papers: this item is included in nep-afr
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