Volatility and its Measurements: The Design of a Volatility Index and the Execution of its Historical Time Series at the DEUTSCHE BÖRSE AG

13 Jan 2015

Article by: Lyndon Lyons and Prof. Dr. Notger Carl
Published by: Würzburg-Schweinfurt University of Applied Sciences
Date: April 2005

“The volatility index, sometimes called by financial professionals and academics as
“the investor gauge of fear” has developed overtime to become one of the highlights
of modern day financial markets. Due to the many financial mishaps during the last
two decades such as LTCM (Long Term Capital Management), the Asian Crisis just
to name a few and also the discovery of the volatility skew, many financial experts
are seeing volatility risk as one of the prime and hidden risk factors on capital
markets. This paper will mainly emphasize on the developments in measuring and
estimating volatility with a concluding analysis of the historical time series of the new
volatility indices at the Deutsche Boerse.”

Full article (PDF): Link

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