An investigation of implied volatility during financial crisis: evidence from Australian index options
Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study ex...
| Main Authors: | , |
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| Format: | Proceeding Paper |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/38231/ http://irep.iium.edu.my/38231/16/an_investigation_of_implied_volatility_during_financial.pdf |
| _version_ | 1848781566195531776 |
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| author | Abdullah, Mimi Hafizah Harun, Hanani Farhah |
| author_facet | Abdullah, Mimi Hafizah Harun, Hanani Farhah |
| author_sort | Abdullah, Mimi Hafizah |
| building | IIUM Repository |
| collection | Online Access |
| description | Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis. |
| first_indexed | 2025-11-14T15:51:36Z |
| format | Proceeding Paper |
| id | iium-38231 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:51:36Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-382312018-06-13T02:25:48Z http://irep.iium.edu.my/38231/ An investigation of implied volatility during financial crisis: evidence from Australian index options Abdullah, Mimi Hafizah Harun, Hanani Farhah HA Statistics HG Finance QA Mathematics Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis. 2014-06 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/38231/16/an_investigation_of_implied_volatility_during_financial.pdf Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2014) An investigation of implied volatility during financial crisis: evidence from Australian index options. In: The 3rd International Conference on Fundamental and Applied Sciences, 3 – 5 Jun 2014, Kuala Lumpur. http://dx.doi.org/10.1063/1.4898509 |
| spellingShingle | HA Statistics HG Finance QA Mathematics Abdullah, Mimi Hafizah Harun, Hanani Farhah An investigation of implied volatility during financial crisis: evidence from Australian index options |
| title | An investigation of implied volatility during financial crisis: evidence from Australian index options |
| title_full | An investigation of implied volatility during financial crisis: evidence from Australian index options |
| title_fullStr | An investigation of implied volatility during financial crisis: evidence from Australian index options |
| title_full_unstemmed | An investigation of implied volatility during financial crisis: evidence from Australian index options |
| title_short | An investigation of implied volatility during financial crisis: evidence from Australian index options |
| title_sort | investigation of implied volatility during financial crisis: evidence from australian index options |
| topic | HA Statistics HG Finance QA Mathematics |
| url | http://irep.iium.edu.my/38231/ http://irep.iium.edu.my/38231/ http://irep.iium.edu.my/38231/16/an_investigation_of_implied_volatility_during_financial.pdf |