Evaluation of VIX Fluctuation Index in Iranian Capital Market and the Impact of Its Future Pricing through GARV Model

Subject Areas : Financial engineering

simin  rajizadeh ¹ (Department of Accounting, Faculty of Management, Economics and Accounting, Payam Noor University, Tehran, Iran)

Received: 2021-09-25 Accepted : 2021-11-30 Published : 2022-09-23

Keywords: : VIX Fluctuation Index, Trading Option Pricing, GARV Model,

Abstract :

The aim of this study was to explain the new volatility model in option pricing using the VIX volatility index, known as the GARV model, with consideration of multiple volatility components, including conditional variance based on returns (hidden components) and realized variance dynamics (jump component). ), Pays at the time of neutral risk. Also, after comparing this model with Garch and Arch models, the measurement error of the models was investigated and finally, the pricing of the option option in all three models was estimated and discussed. The study population is the daily data on gold coin trading in the period 2017 to 2021 in the Iran Commodity Exchange. The volatility of coin prices in the Iranian Commodity Exchange was verified by the GARV model with the generalized VIX index, GARCH and ARCH according to the Ives software. The results of the analysis of the hypotheses show that the calculation of oscillation based on GARV model with hidden components and jump component in predicting VIX oscillation has less measurement error compared to GARCH and ARCH model.