The aim of this paper is to comprehensively compare option-based measures of volatility, with the ultimate plan of devising a new volatility index for the Italian stock market. The performance of the different implied volatility measures in forecasting future volatility is evaluated both in a...

Corridor implied volatility is obtained from model-free implied volatility by truncating the integration domain between two barriers. Empirical evidence on volatility forecasting, in various markets, points to the utility of trimming the risk-neutral distribution of the underlying stock price,...

Corridor implied volatility is obtained from model-free implied volatility by truncating the integration domain between two barriers. Empirical evidence on volatility forecasting, in various markets, points to the utility of trimming the risk-neutral distribution of the underlying stock price,...

This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied volatility expectations, the recently proposed corridor...

The VIX index is computed as a weighted average of SPX option prices over a range of strikes according to specific rules regarding market liquidity. It is explicitly designed to provide a model-free option-implied volatility measure. Using tick-by-tick observations on the underlying options, we...

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the...

Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers. Corridor implied volatility is implicitly linked with the concept...

Volatility estimation and forecasting are essential for both the pricing and the risk management of derivative securities. Volatility forecasting methods can be divided into option-based ones, which use prices of traded options in order to unlock volatility expectations, and time series...

Corridor implied volatility introduced in Carr and Madan (Volatility: new estimation techniques for pricing derivatives, <CitationRef CitationID="CR14">1998</CitationRef>) and recently implemented in Andersen and Bondarenko (Volatility as an asset class, <CitationRef CitationID="CR4">2007</CitationRef>) is obtained from model-free implied volatility by truncating the integration...</citationref></citationref>

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...