CONSTRUCTION AND PROPERTIES OF VOLATILITY INDEX FOR WARSAW STOCK EXCHANGE

• Authors: Tomasz Wiśniewski
• Languages of publication: EN

Abstracts

EN

Volatility indices became a important factors on capital markets and are considered as fear factors. First volatility index VIX, was defined for Chicago Board of Trade in 1993, and was developed in 2003. In next years we observed growing numbers of volatility indices on main capital market around of the world. There were more than 20 volatility indices on capital markets at the end of 2012. The aim of this study is construction of the volatility index considering to Warsaw Stock Exchange trading rules and market participants. We also test the “fear factor” properties of this index.

Keywords

EN

option; capital market; stock market index; volatility index

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 1
• Pages: 218-223

Dates

published

2014

Contributors

author

Tomasz Wiśniewski

• Warsaw Stock Exchange, Indices and Statistics Unit

References

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