IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-00153113.html
   My bibliography  Save this paper

Le comportement des indices de volatilité implicite internationaux

Author

Listed:
  • Sofiane Aboura

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

La volatilité implicite correspond à une mesure de la volatilité de l'actif sous-jacent telle qu'elle est refletée par les prix d'options. Les indices de volatilité implicite ont été créés dans l'idée de fournir aux investisseurs une mesure de l'incertitude puisqu'ils représen-tentune prévision de la volatilité future moyenne. Cet article compare le comportement de trois indices de volatilité implicite, l'indice Américain VIX, l'indice Allemand VDAX et l'indice Français VX1. Cette étude empirique montre que l'indice VX1 tend à exagérer la volatilité du marché Français.

Suggested Citation

  • Sofiane Aboura, 2005. "Le comportement des indices de volatilité implicite internationaux," Post-Print halshs-00153113, HAL.
  • Handle: RePEc:hal:journl:halshs-00153113
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00153113. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.