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Forecasting Canadian Equity Volatility: The Information Content of the MVX Index

Date created
2012-08
Authors/Contributors
Author: Li, Mingying
Abstract
The information content of the option implied equity volatility index (MVX) in Canada is examined. We compare the in-sample and out-of-sample forecasting performance of the GJR model and the combination of GJR and implied volatility index. Forecasts of two measures of volatility are obtained by estimation using an ARCH model based on daily index stock returns and the daily MVX index. The in-sample estimates show that nearly all relevant information is provided by the index return. For out-of-sample forecasting, the MVX index provides the most accurate forecast for all forecast horizons and performance measures considered.
Document
Description
MSc of Finance Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
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You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Scholarly level
Peer reviewed?
No
Language
English
Download file Size
MSc Fin 2012 Hendrik Heng and Mingying Li.pdf 402.51 KB

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