Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194712 
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2017 [Pages:] 1-15
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied to measure the volatility when no derivatives market exists. We formulate this volatility index based on observable and model-free volatility measures. We provide a statistical argument to support that an equally weighted measure of average idiosyncratic variance would forecast market return and show that this measure displays a sizable correlation with economic uncertainty.
Subjects: 
cross-sectional volatility index
proxy VIX
idiosyncratic risk
GARCH forecast volatility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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