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Zum Informationsgehalt der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG

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  • André Schöne

    (Universität Bielefeld)

Abstract

Zusammenfassung Der vorliegende Beitrag befasst sich mit der Analyse des Informationsgehalts der beiden Volatilitätsindizes VDAX und VDA X-New der Deutsche Börse AG. Zunächst geht es darum, die Motivation für die Verwendung impliziter Volatilitäten als Prognose zukünftiger Volatilitäten darzulegen und verschiedene Ansätze zur Schätzung der Volatilität über einen gegebenen Zeitraum vorzustellen. Anschließend gilt es im Rahmen einer Regressionsanalyse zu überprüfen, ob sich die Volatilitätsindizes als Prognose zukünftiger Volatilitäten eignen und inwiefern diese Eignung von dem verwendeten Volatilitätsschätzer abhängig ist. Die Schätzung der Volatilität des DA X geschieht hierbei zum einen auf Basis von Tagesdaten, zum anderen auf Basis hochfrequenter Intratagesdaten. Es wird gezeigt, dass der Informationsgehalt des VDA X-New gegenüber dem des VDAX höher ausfällt und abhängig von dem für die Schätzung der Volatilität verwendeten Verfahren ist. Die Ergebnisse zeigen, dass beide Volatilitätsindizes eine verzerrte Prognose der zukünftigen Volatilität liefern.

Suggested Citation

  • André Schöne, 2010. "Zum Informationsgehalt der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, vol. 62(6), pages 625-661, September.
    • Handle: RePEc:spr:sjobre:v:62:y:2010:i:6:d:10.1007_bf03372836
    DOI: 10.1007/BF03372836
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    References listed on IDEAS

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    More about this item

    Keywords

    C53; G14; G17;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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