Implied Volatility Indexes and Daily Value at Risk Models

By P. Giot. 2005

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Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, methodology): “…studies have already explored the relationship of implied volatility with a number of economic variables in a contemporaneous setting (see e.g., Franks and Schwartz, 1991, Fleming et al., 1995, Whaley, 2000, Davidson et al., 2001, Mixon, 2002, Simon, 2003, Bollen and Whaley, 2004, and Giot, 2005b).”
The importance of fear: investor sentiment and stock market returns (2017, unknown): “Whaley (2000), Simon and Wiggins (2001) and Giot (2005) use a VIX as a sentiment proxy and report both a large negative contemporaneous sentiment–return relationship, and that such measures are reliable contrarian indicators of market returns.”
Does herding affect volatility? Implications for the Spanish stock market (2012, background): “The results were still significant although the coefficients rapidly decrease when n increases. significant power to predict future volatility in the stock market (Fleming et al. 1995, Simon 2003, Giot 2005).”