Users online: 1760    [ij] [ij] [ij] 
Email id

Asian Journal of Management
Year : 2018, Volume : 9, Issue : 2
First page : ( 967) Last page : ( 977)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.5958/2321-5763.2018.00153.1

An Insight of Implied Volatility Vis-a-Vis its Informational Efficiency, Association with Underlying Assets and Spillovers Effects

Prof Narwal Karam Pal1,*, Chhabra Purva2

1Professor, Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar-125001, Haryana, India

2Research Scholar, Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar-125001, Haryana, India, purvachhabra4@gmail.com

*Corresponding Author E-mail: karampalhsb@gmail.com

Online published on 25 December, 2018.


The purpose of this paper is to provide a comprehensive synthesis of past studies regarding the informational content of broad set of volatility indices and reviews the up-to-date empirical and theoretical research studies of last five decades from 1964 to 2015. The literature review reports that overall volatility indices outperform predictions based on the historical volatility measures to predict future realized volatility; also it can be considered as a risk management tool and as a technical analysis indicator to predict future realizedreturns, and there is evidence of volatility contagion and spillovers between developed and developing countries which help in international diversification. The present review paper reflects the importance of implied volatility index in investment, asset pricing, security valuation, risk management and monetary policy making. This article presents the most recent research on implied volatility indices and gives a bird's eye view to the novice researchers in this area.



Asset Pricing Theory, CAPM, Historical Volatility, Implied volatility Index, Realized Volatility, Volatility forecasting.


║ Site map ║ Privacy Policy ║ Copyright ║ Terms & Conditions ║ Page Rank Tool
445,456,915 visitor(s) since 30th May, 2005.
All rights reserved. Site designed and maintained by DIVA ENTERPRISES PVT. LTD..
Note: Please use Internet Explorer (6.0 or above). Some functionalities may not work in other browsers.