دانلود رایگان مقاله شاخص نوسانات ضمنی برای بازار سهام نروژی

Abstract

We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created according to the VIX methodology. We compare the NOVIX to the German VDAX-NEW and the U.S. VIX and find that NOVIX has similar properties as these two indices. We also evaluate the VIX, VDAX-NEW and NOVIX in terms of volatility forecasting. As a benchmark model we use a precise HAR model of Corsi (2009) based on high-frequency data. All three implied volatility indices significantly improve daily, weekly and monthly forecasts of volatility of their underlying equity indices. This improvement is largest for the VIX, followed by VDAX-NEW and NOVIX.

6. Concluding remarks

We introduce a model-free implied volatility index for the Norwegian market, the NOVIX. We construct the NOVIX from options on the OBX index and analyze its properties in the period between January 3rd 2006 and February 22nd 2015. Throughout the paper we study the NOVIX in light of the popular VIX and VDAX-NEW implied volatility indices for the U.S. and German markets. We show that the index contains the same characteristics as VIX and VDAX-NEW when we study features such as stationarity and leverage effect. In order to facilitate for further research, we also calculate and provide continuously updated 5-minute intraday values for the NOVIX at https:// novix.xyz. We find that the potential value of the created Norwegian implied volatility index has increased steadily over the last 15 years, as the NOVIX is more efficient at absorbing market information today than it was a decade ago. The correlation between NOVIX and OBX returns shows an increased negative relationship, and today the correlation between NOVIX and OBX returns is similar to that of VIX and S&P500 returns.