Unit:
Κατεύθυνση Διαχείρισης Κεφαλαίων και ΚινδύνωνLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Papangelis Loukas
Supervisors info:
Μυλωνάς Νικόλαος, Καθηγητής, Τμήμα Οικονομικών Επιστημών, Εθνικόν και Καποδιστριακόν Πανεπιστήμιοn Αθηνών
Original Title:
Κατασκευή Ελληνικού Δείκτη Τεκμαρτής Μεταβλητότητας, Δείκτη Κινδύνου. Προσαρμογή στα ιδιαίτερα χαρακτηριστικά της Ελληνικής αγοράς και εμπειρική διερεύνηση αξιοπιστίας του.
Translated title:
Construction of a Greek Implied Volatility Index, Risk Index. Adaptation to the specific features of the Greek market and empirical investigation of its credibility.
Summary:
Here is an attempt to create a Greek implied volatility index, independent of specific option valuation models. Since the use of a particular option valuation model to identify implied volatility is biased, a more reliable way of calculating the real-time volatility is sought. This search results in the formula used by CBOE in the VIX calculation, suitably tailored to the peculiarities of Greek reality. It is then noted that the issues of low marketability of the Greek stock market lead to the doubtful reliability of the implied volatility index and an attempt is made to create a more general risk indicator. In the search for synthetics of such an indicator, several variables are analyzed. The spreads of Greek bonds and their possible impact on short-term risk are analyzed. An analysis of the impact of investor sentiment on the markets is made and how it is possible, through the measurement of sentiment, to have investors' perception of the risk. An analysis of the effect of the volume and value of transactions on the volatility of a stock market index is then made. Subsequently, implied volatility is analyzed as a key component of a risk indicator and an attempt is made to improve the reliability of the implied volatility index. For the adjustment of the volatility index, the measure of the relative variance risk premium is selected and a new exponential-weighted measure is created, with the sole purpose of improving the short-term reliability of the volatility index. This improves the credibility of the new index and outperforms all other real-time implied volatility measures, but due to this correction the measure, loses part of its predictive capacity. The relationship of the adjusted implied volatility index with international implied volatility indices and its relation to the underlying index is then inspected. As a last potential component of the risk indicator, the volume of options is analyzed. Volatility is then measured with a plurality of ARCH models and the predictive capacity of the implied volatility measures is compared to the ARCH models results. Finally, a risk measure is created, including as components the variables analyzed in the previous sections and the predictive capacity of this overall risk relationship is checked, resulting in the superiority of this measure for monthly horizons.
Main subject category:
Social, Political and Economic sciences
Keywords:
Implied Volatility, Risk, Spreads, Market Turnover, Investor Sentiment, Variance Risk Premium
Number of references:
174
