An investigation of implied volatility during financial crisis: Evidence from Australian index options
Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study...
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my.iium.irep.510672016-06-30T02:06:46Z http://irep.iium.edu.my/51067/ An investigation of implied volatility during financial crisis: Evidence from Australian index options Abdullah, Mimi Hafizah Harun, Hanani Farhah HG Finance QA Mathematics Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis. AIP Publishing 2014-10-24 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/51067/6/51067-new.pdf Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2014) An investigation of implied volatility during financial crisis: Evidence from Australian index options. In: 3rd International Conference On Fundamental And Applied Sciences (ICFAS 2014), 3rd-5th June 2014, Kuala Lumpur, Malaysia. http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.4898509 10.1063/1.4898509 |
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HG Finance QA Mathematics Abdullah, Mimi Hafizah Harun, Hanani Farhah An investigation of implied volatility during financial crisis: Evidence from Australian index options |
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Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past
studies documented that implied volatility based on an option pricing model is found to outperform the historical
volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term
structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial
crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis. |
format |
Conference or Workshop Item |
author |
Abdullah, Mimi Hafizah Harun, Hanani Farhah |
author_facet |
Abdullah, Mimi Hafizah Harun, Hanani Farhah |
author_sort |
Abdullah, Mimi Hafizah |
title |
An investigation of implied volatility during financial crisis: Evidence from Australian index options |
title_short |
An investigation of implied volatility during financial crisis: Evidence from Australian index options |
title_full |
An investigation of implied volatility during financial crisis: Evidence from Australian index options |
title_fullStr |
An investigation of implied volatility during financial crisis: Evidence from Australian index options |
title_full_unstemmed |
An investigation of implied volatility during financial crisis: Evidence from Australian index options |
title_sort |
investigation of implied volatility during financial crisis: evidence from australian index options |
publisher |
AIP Publishing |
publishDate |
2014 |
url |
http://irep.iium.edu.my/51067/6/51067-new.pdf http://irep.iium.edu.my/51067/ http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.4898509 |
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