The Predictive Power of the French Market Volatility Index: A Multi Horizons Study |
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Authors: | Franck Moraux Patrick Navatte and Christophe Villa |
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Institution: | (1) Department of Finance, University of Rennes I, Institut de Gestion de Rennes – CREREG, 11 rue Jean Macé, BP 1997, 35019 Rennes Cedex, France |
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Abstract: | The main purpose of this paper is to examine empirically the time series properties of the French Market Volatility Index (VX1). We also examine the VX1's ability to forecast future realized market volatility and finds a strong relationship. More importantly, we show how the index can be used to generate volatility forecasts over different horizons and that these forecasts are reasonably accurate predictors of future realized volatility. |
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Keywords: | market volatility index maximum likelihood estimation stochastic volatility models |
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