International Capital Markets, August 2001
... interest rate spreads.4 The GARCH model allows the 3U.S. stock market volatility is measured by the index of implied volatility of the Saamp;P 100 (VIX), which is a consensus volatility derived from at-the-money options on the Saamp;P 100.
| Title | : | International Capital Markets, August 2001 |
| Author | : | Mr. Donald J. Mathieson, Mr. Garry J. Schinasi |
| Publisher | : | International Monetary Fund - 2001-08-22 |
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