Munich Financial Systems Consulting
Volatility
How does market volatility evolve through time and what are the potential causes of volatility shocks in the market?

We study the dynamic behavior of volatility indices. Volatility is subject to severe jump risk. Public news releases can induce the risk of market wide volatility jumps. This has implications for the pricing of volatility options and hedging strategies.

MFSCON Volatility MFSCON Volatility

For more details, please refer to the studies:


Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. and Germany
N. Wagner, A. Szimayer (2004): Research in International Business and Finance 18: 237-251
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Alternative Model Specifications for Implied Volatility Measured by the German VDAX
N. Wagner, A. Szimayer (2001): Kredit und Kapital 34: 590-618
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