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The information content of implied volatility index (India VIX)

Shaikh, Imlak; Padhi, Puja - In: Global business perspectives 1 (2013) 4, pp. 359-378

Persistent link: https://www.econbiz.de/10010230219

The forecasting performance of implied volatility index : evidence from India VIX

Shaikh, Imlak; Padhi, Puja - In: Economic change and restructuring : empirical and … 47 (2014) 4, pp. 251-274

Persistent link: https://www.econbiz.de/10010479120

Inter-temporal relationship between India VIX and Nifty equity index

Shaikh, Imlak; Padhi, Puja - In: Decision 41 (2014) 4, pp. 439-448

Persistent link: https://www.econbiz.de/10010483844

On the relationship between implied volatility index and equity index returns

Shaikh, Imlak; Padhi, Puja - In: Journal of economic studies 43 (2016) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10011687386

The forecasting performance of implied volatility index: evidence from India VIX

Shaikh, Imlak; Padhi, Puja - In: Economic Change and Restructuring 47 (2014) 4, pp. 251-274

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...

Persistent link: https://www.econbiz.de/10011154923

On the relationship between implied volatility index and equity index returns

Shaikh, Imlak; Padhi, Puja - In: Journal of Economic Studies 43 (2016) 1, pp. 27-47

Purpose – The purpose of this paper is to analyze the asymmetric contemporaneous relationship between implied volatility index (India VIX) and Equity Index (S & P CNX Nifty Index). In addition, the study also analyzes the seasonality of implied volatility index in the form of day-of-the-week...

Persistent link: https://www.econbiz.de/10014864680