The Predictive Power of the French Market Volatility Index: A Multi Horizons Study

Franck Moraux · Patrick Navatte · Christophe Villa

41 citations0/0 files storedEuropean Finance Review

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Abstract The main purpose of this paper is to examine empirically the time series properties of the French Market Volatility Index (VX1). We also examine the VX1's ability to forecast future realized market volatility and finds a strong relationship. More importantly, we show how the index can be used to generate volatility forecasts over different horizons and that these forecasts are reasonably accurate predictors of future realized volatility. JEL classification codes: G14, C53, C13.

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References

1973The Pricing of Options and Corporate Liabilities 1987The Pricing of Options on Assets with Stochastic Volatilities 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1985An Intertemporal General Equilibrium Model of Asset Prices 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 1994Multivariate Stochastic Variance Models 2002Bayesian Analysis of Stochastic Volatility Models 1987The Pricing of Options on Assets with Stochastic Volatilities

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