{"data":{"id":"10.7910/dvn/ih6iuj","type":"dois","attributes":{"doi":"10.7910/dvn/ih6iuj","prefix":"10.7910","suffix":"dvn/ih6iuj","identifiers":[],"alternateIdentifiers":[],"creators":[{"name":"G. C., Surya Bahadur","nameType":"Personal","givenName":"Surya Bahadur","familyName":"G. C.","affiliation":["Assistant Professor, School of Business, Pokhara University, Nepal."],"nameIdentifiers":[]}],"titles":[{"title":"The Forecasting Power of the Volatility Index: Evidence from the Indian Stock Market"}],"publisher":"Harvard Dataverse","container":{},"publicationYear":2016,"subjects":[{"subject":"Business and Management"},{"subject":"FOS: Economics and business","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"Implied volatility"},{"subject":"India VIX"},{"subject":"Investor fear gauge"},{"subject":"Volatility forecasting"}],"contributors":[{"name":"Kothari, Ranjana","nameType":"Personal","givenName":"Ranjana","familyName":"Kothari","affiliation":["Assistant Professor, Amity University, Gurgaon, India."],"contributorType":"ContactPerson","nameIdentifiers":[]}],"dates":[{"date":"2016-08-10","dateType":"Submitted"},{"date":"2016-08-19","dateType":"Available"},{"date":"2016","dateType":"Issued"}],"language":null,"types":{"ris":"DATA","bibtex":"misc","citeproc":"dataset","schemaOrg":"Dataset","resourceTypeGeneral":"Dataset"},"relatedIdentifiers":[{"relationType":"HasPart","relatedIdentifier":"10.7910/dvn/ih6iuj/aixdrq","relatedIdentifierType":"DOI"}],"relatedItems":[],"sizes":["274459"],"formats":["application/pdf"],"version":"1.0","rightsList":[{"rightsUri":"info:eu-repo/semantics/openAccess"},{"lang":"en","rights":"Creative Commons Zero v1.0 Universal","rightsUri":"https://creativecommons.org/publicdomain/zero/1.0/legalcode","schemeUri":"https://spdx.org/licenses/","rightsIdentifier":"cc0-1.0","rightsIdentifierScheme":"SPDX"}],"descriptions":[{"description":"Stock market volatility is a measure of risk in investment and it plays a key role in securities pricing\r\nand risk management. The paper empirically analyzes the relationship between India VIX and\r\nvolatility in Indian stock market. India VIX is a measure of implied volatility which reflects markets’\r\nexpectation of future short-term stock market volatility. It is a volatility index based on the index\r\noption prices of Nifty. The study is based on time series data comprising of daily closing values of\r\nCNX Nifty 50 index comprising of 1656 observations from March 2009 to December 2015. The\r\nresults of the study reveal that India VIX has predictive power for future short-term stock market\r\nvolatility. It has higher forecasting ability for upward stock market movements as compared to\r\ndownward movements. Therefore, it is more a bullish indicator. Moreover, the accuracy of forecasts\r\nprovided by India VIX is higher for low magnitude future price changes relative to higher stock price\r\nmovements. The current value of India VIX is found to be affected by past period volatility up to one\r\nmonth and it has forecasting ability for next one-month’s volatility which means the volatility in the\r\nIndian stock markets can be forecasted for up to 60 days period.","descriptionType":"Abstract"},{"description":"This article is originally published and available at 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