TY  - RPRT
AU  - Wiphatthanananthakul, Chatayan
AU  - McAleer, Michael
PY  - 2009
UR  - https://hdl.handle.net/20.500.14352/49263
AB  - In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expectedvolatility. In this...
LA  - eng
KW  - Financial markets
KW  - Model selection
KW  - New products
KW  - Price forecasting
KW  - Time series
KW  - Volatility forecasting
TI  - A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
TY  - technical report
VL  - 2009
ER  -