Multimedialne seminarium z ekono- i socjofizyki

Volatility, the variability of asset prices over time, is a key feature of financial markets. The one-day financial crash of 1987, asian currency crises of 1997-1998, dot-com bubble of early 2000s and financial crises of 2007-2008, all changed the perceived market volatility and strengthened the need for accurate volatility predictions. An estimation of future volatility—an implied volatility—is typically derived from option prices of the underlying asset. A simpler approach, not involving derivatives and relying solely on the basic asset's historical prices, will be shown. A simulated implied volatility (SIV) index will be constructed, and compared with known measures such as the VIX for S&P500, VXN for NASDAQ and VDAX for the german DAX index.