IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Volatilitätsprognosen auf Basis der DAX-Volatilitätsindizes

  • Christian Tallau

    (Georg-August-Universität Göttingen, Professur für Finanzwirtschaft, Platz der Göttinger Sieben 3, D-37073 Göttingen)

Registered author(s):

    This article analyses the information content of the volatility indices VDAX and VDAX-NEW published by the German Stock Exchange with respect to forecasts of the volatility of DAX returns realized in future. In a period of 17 years (1992– 2008), the volatility indices are compared with one another as well as with volatility estimates based on historical measures. To this end, the analysis is based on the riskmetrics methodology as well as on a GARCH model besides the historically realized volatility. The results suggest that the VDAX-NEW contains all relevant information on historical returns as well as the VDAX and represents a more efficient estimator of future volatility compared with the VDAX.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" 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.

    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 44 (2011)
    Issue (Month): 1 ()
    Pages: 47–74

    in new window

    Handle: RePEc:kuk:journl:v:44:y:2011:i:1:p:47-74
    Contact details of provider: Web page:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:kuk:journl:v:44:y:2011:i:1:p:47-74. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Credit and Capital Markets)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.