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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Implied volatility indices and dynamic volatility models - a comparison |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2022 |
| Abstract Text | This thesis focuses on the question of the advantages in forecasting volatility of implied volatility indices in comparison to more dynamic models such as the ARCH and the GARCH model. The goal is statements about information content, bias, efficiency and better prediction. The existing literature is ambiguous about these statements, so this thesis further contributes to the discussion. First, a theoretical framework corresponding to the definition and history of the implied volatility indices and dynamic models is presented. Then the data of the time series of the implied volatility indices are assessed in terms of predictive power and compared to the dynamic models with an OLS regression. The results indicate that implied volatility contains additional information. However, the ARCH and the GARCH predict better. |
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