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

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 ex...

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Main Authors:	Abdullah, Mimi Hafizah, Harun, Hanani Farhah
Format:	Conference or Workshop Item
Language:	English
Published:	2014
Subjects:	HA Statistics HG Finance QA Mathematics
Online Access:	http://irep.iium.edu.my/38231/ http://irep.iium.edu.my/38231/ http://irep.iium.edu.my/38231/16/an_investigation_of_implied_volatility_during_financial.pdf

id	iium-38231
recordtype	eprints
spelling	iium-382312018-06-13T02:25:48Z http://irep.iium.edu.my/38231/ An investigation of implied volatility during financial crisis: evidence from Australian index options Abdullah, Mimi Hafizah Harun, Hanani Farhah HA Statistics HG Finance QA Mathematics 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. 2014-06 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/38231/16/an_investigation_of_implied_volatility_during_financial.pdf Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2014) An investigation of implied volatility during financial crisis: evidence from Australian index options. In: The 3rd International Conference on Fundamental and Applied Sciences, 3 – 5 Jun 2014, Kuala Lumpur. http://dx.doi.org/10.1063/1.4898509
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HA Statistics HG Finance QA Mathematics
spellingShingle	HA Statistics HG Finance QA Mathematics Abdullah, Mimi Hafizah Harun, Hanani Farhah An investigation of implied volatility during financial crisis: evidence from Australian index options
description	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.
format	Conference or Workshop Item
author	Abdullah, Mimi Hafizah Harun, Hanani Farhah
author_facet	Abdullah, Mimi Hafizah Harun, Hanani Farhah
author_sort	Abdullah, Mimi Hafizah
title	An investigation of implied volatility during financial crisis: evidence from Australian index options
title_short	An investigation of implied volatility during financial crisis: evidence from Australian index options
title_full	An investigation of implied volatility during financial crisis: evidence from Australian index options
title_fullStr	An investigation of implied volatility during financial crisis: evidence from Australian index options
title_full_unstemmed	An investigation of implied volatility during financial crisis: evidence from Australian index options
title_sort	investigation of implied volatility during financial crisis: evidence from australian index options
publishDate	2014
url	http://irep.iium.edu.my/38231/ http://irep.iium.edu.my/38231/ http://irep.iium.edu.my/38231/16/an_investigation_of_implied_volatility_during_financial.pdf
first_indexed	2023-09-18T20:54:54Z
last_indexed	2023-09-18T20:54:54Z
_version_	1777410239078858752

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

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