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The intense high period of volatilities persists for the overall period specifically spiked volatile return is seen in 2008 which shows the influence of global financial crisis and sudden inclination of investors to the safe-haven asset.
At-the-money options trade at the lowest implied volatility, while options with exercise prices far from the current price trade at higher implied volatilities.
However, we found that the hypothesis that the historical volatility-led implied volatilities of any type (at-the-money implied volatility, near-the-money call implied volatility and near-the-money put implied volatility), are prevalent is strongly supported by the data.
We expect the volatilities of all explanatory variables to have a positive effect on the output growth volatility.
The average daily returns of Carhart four factors (SMB, HML, WML and [R.sub.m] - [R.sub.f]) are less than 1% but have very high volatilities. The trading activity variables volume and open interests of calls and puts are observed to be negatively skewed.
The value (equally weighted) low- volatility portfolio earns a positive alpha of 11 bp (20 bp) per month, rejecting the argument that these are fairly priced and that idiosyncratic volatilities' singular role in asset pricing is as a limit of arbitrage.
The Impact of crude oil gold price and their volatilities on Stock Markets: Evidence from selected member of OPEC.
It is worth mentioning that it is not suitable to use at-the-money implied volatilities in general to price a seasoned volatility swap.
Section 4.1 describes the estimation results based on current-looking measures of stock market volatility (conditional and realized volatilities).
of Calgary) introduces mathematical equations for modeling the price of swaps in the financial and energy markets with different stochastic volatilities, and presents a variance drift adjusted version of the Heston model which improves the market volatility surface fitting.The graduate textbook explores variance and volatility swaps for financial markets with underlying assets following the Heston model, the valuation of variance swaps for stochastic volatilities with delay, a semi-Markov modulated market consisting of a riskless bond and a risky stock, variance and volatility swaps for volatilities driven by fractional Brownian motion, and explicit option pricing of a mean-reverting asset in energy markets.
Our findings have considerable implications for understanding the characteristics of stock market development, the magnitude of stock market volatilities, the behavior of stock market prices, linkages between stock prices and corporate bonds, and the performance of the Chinese stock market.
We have found that implied volatilities tend to remain very high or very low for extended periods of time.