The
Thomson Reuters Realized Volatility Index is a newly developed stock market index from Thomson Reuters Indices. It measures and forecasts realized volatility at a variety of time horizons - from one day to several months.
Function
This index can be used to construct volatility curves with a variety of time horizons. It can also be used to construct the skew necessary for pricing out-of-the-money options. Its forecast ability allows realized volatility to be known a few days to a month in advance. Realized volatility can be considered a more useful measure for market participants than Implied Volatility measures.
History
The index was first introduced during the webcast
The Long & Short of It - New Measures of Volatility on September 23, 2009 by Andrew Clark, Chief Index Strategist of Thomson Reuters Indices.
External links
The source of this article is
wikipedia, the free encyclopedia. The text of this article is licensed under the
GFDL.
