Volatilitätsprognosen auf Basis der DAX-Volatilitätsindizes

Abstract

This article analyses the information content of the volatility indices VDAX and VDAX-NEW published by the German Stock Exchange with respect to forecasts of the volatility of DAX returns realized in future. In a period of 17 years (1992– 2008), the volatility indices are compared with one another as well as with volatility estimates based on historical measures. To this end, the analysis is based on the riskmetrics methodology as well as on a GARCH model besides the historically realized volatility. The results suggest that the VDAX-NEW contains all relevant information on historical returns as well as the VDAX and represents a more efficient estimator of future volatility compared with the VDAX.