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Modeling and Forecasting Volatility and Prices for SET50 Index Options

By Chanyapat Wiphatthanananthakul

Modeling and Forecasting Volatility and Prices for SET50 Index Options Law

Modeling and Forecasting Volatility and Prices for SET50 Index Options

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Description
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this book, with the use of Thailand's SET50 Index Options data, we modify the apparently complicated VIX formula to a simple relationship, which has a higher negative correlation between the VIX for Thailand (TVIX) and SET50 Index Options. We show that TVIX provides more accurate forecasts of option prices than the simple expected volatility (SEV) index, but the SEV index outperforms TVIX in forecasting expected volatility. Therefore, the SEV index would seem to be a superior tool as a hedging diversification tool because of the high negative correlation with the volatility index.
Product details
Binding:
Paperback
Number of Pages:
176
Release Date:
2025-10-17
Publication Date:
2025-10-17
Publisher:
LAP LAMBERT Academic Publishing
Languages:
Original: English
ISBN10:
6200524998
ISBN13:
9786200524997
Weight:
280 g
Height:
150 cm
Width:
220 cm
Thickness:
11 cm
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