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| Author: | Crouhy, M. Rockinger, M. |
| Title: | Volatility indices for the French financial market |
| Journal: | Finance
1997 : DEC, VOL.18:2, p.29-50 |
| Index terms: | FINANCIAL MARKETS VOLATILITY FRANCE |
| Language: | eng |
| Abstract: | The aim of this paper is to construct volatility based indices of economic uncertainty for France. Option prices are used to infer the implied volatility of PIBOR and Notional futures options. With GARCH we model volatility of non derivative financial series. Principal components analysis is used to extract cycles. The sample frequency is daily running from march 1990 to november 1995.The high level of monetary volatility at the end of 1995 suggests uncertainty about the future evolution of the European monetary system. |
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