We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One … may be applied to measure the volatility when no derivatives market exists. We formulate this volatility index based on … observable and model-free volatility measures. We provide a statistical argument to support that an equally weighted measure of …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …