The Information Content of ASX SPI 200 Implied Volatility

Abstract

In Australia, the equivalent of a US VIX indicator has recently become available. In response, we consider whether the information captured in the implied volatility of options on the Australian SPI 200 Futures index is superior to the information content of a generalized autoregressive conditional heteroskedasticity (GARCH) approach to volatility prediction. We conclude that the implied volatility of at-the-money (ATM) call options on the SPI 200 Index futures is more powerful, dominating other modes of moneyness options as well as GARCH predictions.