EVI-Emerging Asia - EDHEC-Risk

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Properties of CSV • Although representing two different measures of uncertainty, systematic and average specific volatility indicators are expected to be highly correlated. • The rationale is that they both reflect the aggregate uncertainty by investors at a given point in time regarding economic fundamentals. • We confirm this intuition but also discover different correlations to different systematic Asian volatility indicators.
Pan-Asian Volatility Indicators 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 Japan 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 Emerging Asia 1.1 0.9 0.7 0.5 Dev Asia ex Japan The latest recession, from Dec-07 to June 09, as defined by NBER. 0.3 0.1 -0.1 Idiosyncratic volatility can be a measure of economic uncertainty.
Page 1 and 2: EDHEC-Risk Days Europe 2012 May 10,
Page 3 and 4: Outline • Volatility Indicators -
Page 5 and 6: Introduction • Information about
Page 7 and 8: Volatility Indices • Since inform
Page 9 and 10: Problems with Option-Implied Volati
Page 11 and 12: Introducing a New Volatility Index
Page 13 and 14: 1 Day Before Fukushima • The cros
Page 15 and 16: Cross-Sectional Volatility • We p
Page 17 and 18: • Volatility Indicators - Backgro
Page 19 and 20: Interpretations of CSV • Among al
Page 21 and 22: • Volatility Indicators - Backgro
Page 23 and 24: Methodology: Liquidity • Lack of
Page 25 and 26: Value-Added of Robustness 1.4 1.2 1
Page 27 and 28: Introducing EVI • The methodology
Page 29: • Volatility Indicators - Backgro
Page 33 and 34: EVI-Developed Asia ex Japan vs VKOS
Page 35 and 36: Correlations between Asian Option-
Page 37 and 38: 1 0.8 0.6 0.4 0.2 0 -0.2 -0.4 -0.6
Page 39 and 40: Conclusions • We introduce a new

EVI-Emerging Asia - EDHEC-Risk

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