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The Information Content of ASX SPI 200 Implied Volatility

Author

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  • Hassan Tanha

    (College of Business, Victoria University, P.O. Box 14428, Melbourne 8001, Australia)

  • Michael Dempsey

    (School of Economics, Finance and Marketing, RMIT University, Melbourne VIC 3000, Australia)

Abstract

In Australia, the equivalent of a US VIX indicator has recently become available. In response, we consider whether the information captured in the implied volatility of options on the Australian SPI 200 Futures index is superior to the information content of a generalized autoregressive conditional heteroskedasticity (GARCH) approach to volatility prediction. We conclude that the implied volatility of at-the-money (ATM) call options on the SPI 200 Index futures is more powerful, dominating other modes of moneyness options as well as GARCH predictions.

Suggested Citation

  • Hassan Tanha & Michael Dempsey, 2016. "The Information Content of ASX SPI 200 Implied Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
    • Handle: RePEc:wsi:rpbfmp:v:19:y:2016:i:01:n:s0219091516500028
    DOI: 10.1142/S0219091516500028
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    Cited by:

    1. Peng, Qing & Li, Jie & Zhao, Yu & Wu, Han, 2021. "The informational content of implied volatility: Application to the USD/JPY exchange rates," Journal of Asian Economics, Elsevier, vol. 76(C).
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    3. Tissaoui, Kais & Zaghdoudi, Taha, 2021. "Dynamic connectedness between the U.S. financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 481-492.
    4. Oleg Sokolinskiy, 2020. "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 389-426, August.

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