The behavior of option’s implied volatility index: a case of India VIX
The aim of this paper is to investigate the behavior of implied volatility in the form of day-of-the-week, year-of-the-month and surround the expiration of options. The persistence of volatility is modeled in ARCH/GARCH type framework. The empirical results have shown significant effects of the day...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2015-06-01
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| Series: | Business: Theory and Practice |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/BTP/article/view/8279 |