{"product_id":"the-information-content-of-canadian-implied-volatility-indexes-von-chunrong-wang","title":"The Information Content of Canadian Implied Volatility Indexes","description":"\u003cp\u003eThis book compares the efficacy of Black¿Scholes implied volatility with model-free implied volatility in providing volatility forecasts in the framework of Canadian S\u0026amp;P\/TSX 60 stock index option. In-sample volatility forecasts show that both MVX and VIXC significantly improve the fit of a GJR¿GARCH(1,1) model. However, VIXC dominates MVX for predicting future volatility. Out-of-sample volatility forecasts also indicate that VIXC outperforms MVX for the 1-, 5-, 10-, and 22-day forecasting horizons. we also investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices.We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783659170959\"\u003e\u003ch3\u003eThe efficacy of Black-Scholes implied volatility and model-free implied volatility\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783659170959","offer_id":39487759188061,"sku":"9783659170959","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/b7ef5f7a-061d-4f78-bf85-fe0d1eefbb9d.jpg?v=1776494322","url":"https:\/\/shop.autorenwelt.de\/products\/the-information-content-of-canadian-implied-volatility-indexes-von-chunrong-wang","provider":"Autorenwelt Shop","version":"1.0","type":"link"}