An investigation of implied volatility during financial crisis: Evidence from Australian index options

Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2014) An investigation of implied volatility during financial crisis: Evidence from Australian index options. In: 3rd International Conference On Fundamental And Applied Sciences (ICFAS 2014), 3rd-5th June 2014, Kuala Lumpur, Malaysia.

PDF - Published Version Restricted to Repository staff only Download (2MB) | Request a copy

Abstract

Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis.

Item Type:	Conference or Workshop Item (Invited Papers)
Additional Information:	4482/51067
Uncontrolled Keywords:	volatility, financial crisis
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User:	Ms Mimi Hafizah Abdullah
Date Deposited:	30 Jun 2016 10:06
Last Modified:	30 Jun 2016 10:06
URI:	http://irep.iium.edu.my/id/eprint/51067

Actions (login required)

View Item