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El índice VIX para la predicción de la volatilidad: un estudio internacional

Author

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  • Javier Giner Rubio

    (Universidad de La Laguna; Facultad de Ciencias Económicas y Empresariales, Departamento de Economía Financiera y Contabilidad, Campus de Guajara s/n, 38071 La Laguna, Santa Cruz de Tenerife.Tfno.:922317102; Fax: 922317132)

  • Sandra Morini Marrero

    (Universidad de La Laguna; Facultad de Ciencias Económicas y Empresariales, Departamento de Economía Financiera y Contabilidad, Campus de Guajara s/n, 38071 La Laguna, Santa Cruz de Tenerife.Tfno.:922317102; Fax: 922317132)

Abstract

Los índices de volatilidad propuestos por algunos mercados de derivados se han constituido como unos indicadores fundamentales no sólo en la negociación de opciones, sino de la percepción de la marcha del mercado en general. En este trabajo se analizan las diferentes propuestas realizadas para el cálculo de los índices VIX, VDAX y VX1 para los mercados americano, alemán y francés respectivamente. Asimismo, el estudio anterior se extiende al mercado español de opciones para lo que es necesario la construcción de un índice de volatilidad sobre el Ibex-35. Para poner de relieve el importante contenido informativo que caracteriza a estas series, también comprobamos cómo estos índices mejoran sustancialmente los indicadores de predicción de volatilidad realizada, comparando sus resultados con otros métodos habituales como modelos de volatilidad histórica y condicional GARCH(1,1).

Suggested Citation

  • Javier Giner Rubio & Sandra Morini Marrero, 2004. "El índice VIX para la predicción de la volatilidad: un estudio internacional," Documentos de trabajo conjunto ULL-ULPGC 2004-10, Facultad de Ciencias Económicas de la ULPGC.
    • Handle: RePEc:can:series:2004-10
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    References listed on IDEAS

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    Keywords

    índices de volatilidad; opciones sobre índices bursátiles; predicción.;
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