This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States), S&P/ASX 200 (Australia), S&P/TSX 60 (Canada), AEX...

This study provides the first examination of the Canadian implied volatility indexes for forecasting future volatility. Introduced by Montreal exchange in 2010, the model-free implied volatility index for the Canadian stock market, the VIXC, outperforms the previously used model-based index, the...