TY  - JOUR
AU  - Giner, J.
AU  - Morini, S.
AU  - Rosillo, R.
T1  - Optimal Prediction Periods for New and Old Volatility Indexes in USA and German Markets
LA  - eng
PY  - 2016
SP  - 527
EP  - 549
T2  - Computational Economics
SN  - 1572-9974
VL  - 47
IS  - 4
PB  - Springer New York LLC
AB  - In 1993, the Chicago Board of Options Exchange (CBOE) introduced the VXO, a volatility index based on implied volatilities on S&P 100 index. In 2003, the CBOE changed their volatility index design and introduced the VIX in order to enhance its economic significance and to facilitate hedging. In this paper, using data from the USA and the German stock markets, we compare the forecasting capability of the volatility indexes with that of historical volatility and conditional volatility models. Following this analysis, we have studied whether it may be the case that volatility indexes forecast the realized volatilities more accurately for a different period to 30 (or 45) days, attempting to answer the question: what time horizon is the informational content of volatility indexes best adjusted for? The optimal prediction period of each volatility index (VXO, VIX, VDAX and V1X) in terms of coefficient of determination is analysed. The results identify a difference between the observed optimal forecasting period and the theoretical one. This could be explained from different perspectives such as the index’s design, investor cognitive bias or overreaction.
DO  - 10.1007/s10614-015-9500-0
UR  - https://portalciencia.ull.es/documentos/5e3c3bec29995246bbf6048b
DP  - Dialnet - Portal de la Investigación
ER  -