英文标题：
《The Implied Volatility Analysis: The South African Experience》
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作者：
Romuald N. Kenmoe S and Carine D. Tafou
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最新提交年份：
2014
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英文摘要：
In this paper, we analyse the South African implied volatility in various setting. We assess the information content in SAVI implied volatility using daily markets data. Our empirical application is focused on the FTSE/JSE Top 40 index and we emphasize our models performance in distinct sub-periods. Our results are compared with VIX/VXN and S&P 500/NASDAQ 100 data in some points which are taken as our benchmark. We find a significant negative relationship between returns and volatility, in line with the results found in other markets. Finally, the link between SAVI, VIX and VXN are undertaken to examine the equity market transmission with respect to uncertainty.
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中文摘要：
在本文中，我们分析了不同背景下的南非隐含波动率。我们使用每日市场数据评估SAVI隐含波动率中的信息内容。我们的实证应用集中在FTSE/JSE Top 40指数上，我们强调我们的模型在不同子期的表现。我们的结果与VIX/VXN和标准普尔500/NASDAQ 100数据在一些点上进行了比较，这些点被作为我们的基准。我们发现收益率和波动率之间存在显著的负相关关系，这与其他市场的结果一致。最后，研究了SAVI、VIX和VXN之间的联系，以检验与不确定性有关的股市传导。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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