03641ntm a22005537i 4500 000568626 CZ-PrVSE 20190720083859.0 m d cr n|||||||||| 190720s2019 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Krol, Anastasiia ISIS:97231 dis Index Volatility CBOE a Analýza Struktury Volatilní Rizikové Prémie eng CBOE Volatility Index VIX and the Volatility Premium Structure Analysis / Anastasiia Krol 2019 ?? stran : digital, PDF soubor Vedoucí práce: Jiří Witzany Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2019 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2019 This thesis represents the overview of the relevant information on the CBOE Volatility Index providing theoretical background on definition, estimation and modelling of historical, stochastic and realized volatilities. The main focus is on implied volatility and attributes, such as volatility skew and volatility risk premium, in terms of CAPM model. The described models of volatility estimations include GARCH, ARCH, EMWA, HAR and ARFIMA with modifications. The implied volatility is explained in terms of Black-Scholes option pricing model, Cox-Ross-Rubinstein method and model-free methodology. Further on, the model-free methodology is explained to be the methodological basis of VIX calculations, which are provided along with additional information on index, such as value reading, forecasting ranges of equity market volatility with current levels of index and alternative measures of volatility used by traders, such as ATR, Bollinger Bands and other volatility indexes besides VIX. The third part is essential to understand the framework of trading untradeable index with VIX Futures (VX) and options explained along with an overview of volatility ETP market and analysis of XIV case. The empirical part contains the interpretation of volatility risk premium and its existence, the analysis of development of premium in terms of crisis and testing its structure by comparing its sensitivity to the components. The last part is tackling the volatility risk premium of VX futures with the same approach and compares the two premiums. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas beta S&P 500 volatility volatility risk premium VIX futures implied volatility CBOE Volatility index realized volatility Witzany, Jiří, 1966- vse2007429830 ths Chval, David ISIS:84306 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/68794/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/68794 Hlavní práce https://insis.vse.cz/zp/68794/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/68794/posudek/oponent/62052 Oponentura https://insis.vse.cz/zp/68794/podrobnosti dc:identifier NEPOSILAT VSKP vse68794 190607 68794