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Model-free Implied Volatility Index of Japanese Stock Market

Author

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  • Nattapol TAKKABUTR

    (Graduate School of Economics, Osaka University)

Abstract

This paper empirically studied the model-free implied volatility indices constructed from options prices of the Nikkei 225 index during 2005-2010. The concept of corridor volatility index is compared and contrasted with the methodology of the famous VIX index developed by the Chicago Board Options Exchange (CBOE). The relative corridor widths are found to be able to explain relative variations between volatility indices with different corridors f widths. Also, the corridor volatility index is found to be the better predictor of the future realized volatility of the underlying stock index.

Suggested Citation

  • Nattapol TAKKABUTR, 2013. "Model-free Implied Volatility Index of Japanese Stock Market," Discussion Papers in Economics and Business 13-03, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:1303
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    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/1303.pdf
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    More about this item

    Keywords

    Volatility Index; Crisis; Financial Crisis; Option; Option-implied;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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