%0 Journal Article
%T The information content in a volatility index for Spain
%A Maria T. Gonzalez-Perez
%A Alfonso Novales
%J SERIEs
%@ 1869-4195
%D 2011
%I 
%R 10.1007/s13209-010-0031-6
%X A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market. We use a public data set of daily option prices to compute this index and show that daily changes in VIBEX-NEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately symmetric to the sign on VIBEX-NEW changes and asymmetric to the IBEX-35 returns sign, which make it clearly a suitable volatility index for the Spanish stock market. We also examine the relationship between current VIBEX-NEW and future IBEX-35 volatility. Our results suggest that VIBEX-NEW can be used to produce IBEX-35 volatility forecasts at least as good as historical and conditional volatility measures. A feasible volatility correction methodology is proposed to achieve it.
%K Model-based volatility index
%K Model-free volatility index
%K Risk
%K Leverage effect
%K Forecasting volatility
%K C53
%K G13
%K G15
%U http://link.springer.com/article/10.1007/s13209-010-0031-6