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Etude empirique du comportement de l'indice de volatilité, VX1, sur le Monep et de son pouvoir ... [extrait BMI 39]
Author : Iakov Stanimir
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La fonction principale de l'indice de volatilité (VX), sur le Monep est de fournir une estimation de la volatilité espérée par le marché et faciliter la prise de décisions concernant la gestion du risque de volatilité. Dans cet article, nous menons une étude statistique du comportement quotidien de XV et nous examinons son pouvoir prédictif en le comparant à celui de la volatilité historique. Il apparaît que la volatilité historique affiche une meilleure performance prédictive que XV.Auteurs :Iakov Stanimir
Extrait de la revue BMI 39
BMI39-1098040
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