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

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...

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Bibliographic Details
Main Authors: Abdullah, Mimi Hafizah, Harun, Hanani Farhah
Format: Conference or Workshop Item
Language:English
Published: AIP Publishing 2014
Subjects:
HG Finance
QA Mathematics
Online Access:http://irep.iium.edu.my/51067/
http://irep.iium.edu.my/51067/
http://irep.iium.edu.my/51067/
http://irep.iium.edu.my/51067/6/51067-new.pdf
id iium-51067
recordtype eprints
spelling iium-510672016-06-30T02:06:46Z http://irep.iium.edu.my/51067/ An investigation of implied volatility during financial crisis: Evidence from Australian index options Abdullah, Mimi Hafizah Harun, Hanani Farhah 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. AIP Publishing 2014-10-24 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/51067/6/51067-new.pdf 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. http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.4898509 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 HG Finance
QA Mathematics
spellingShingle 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
publisher AIP Publishing
publishDate 2014
url http://irep.iium.edu.my/51067/
http://irep.iium.edu.my/51067/
http://irep.iium.edu.my/51067/
http://irep.iium.edu.my/51067/6/51067-new.pdf
first_indexed 2023-09-18T21:12:14Z
last_indexed 2023-09-18T21:12:14Z
_version_ 1777411329775108096

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