This study investigates the information content of RBI’s monetary policy and macroeconomic announcements and its impact on the implied volatility index. The empirical findings suggest that implied volatility (VIX) increases prior to the scheduled macroeconomic announcements. This study takes...

This article investigates the cointegration level, and changes in the existence and direction of causality among volatilities. Vector autoregressive (VAR) model enables us to conduct Granger-causality and impulse response analysis, and determine the pattern of causality. The empirical findings...

In this paper, we investigate the forecasting performance of ex-post an ex-ante volatility forecasts against realized return volatility of various time horizon. The competing volatility forecasts are implied volatility, RiskMetrics and GJR-GARCH; the empirical results uncover that implied...

The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear, where in the expected stock market...

This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples. The study covers the period from...

This study examines the impact of scheduled macroeconomic announcements on the option’s implied volatility index in the emerging market. The macroeconomic indicators considered are RBI monetary policy statements, the consumer price index, wholesale price index, index of industrial...

The purpose of this article is to investigate the effect of the introduction of stock index futures on the volatility of the spot equity market and to test the impact of the introduction of the stock index futures contracts, a GARCH model is modified along the lines of GJR-GARCH and EGARCH...

An attempt has been made in this paper to explain the stock market volatility at the individual script level and at the aggregate indices level. The empirical analysis has been done by using Autoregressive conditional heteroscedasticity model (ARCH), Generalised autoregressive conditional...

The measure of variability that is based on past prices that conforms to the present variability has been conceptualized as volatility in financial market. Thus, volatility as a concept can be treated as synonymous with variability in general or variance in particular. In this paper an attempt...