The Forecasting Power of the Volatility Index: Evidence from the Indian Stock Market
<|begin_of_text|><|start_header_id|>system<|end_header_id|> You are a research archivist expert in dataset metadata. Answer the question truthfully.  <|eot_id|><|start_header_id|>user<|end_header_id|> Here is the Description of a dataset. Description:'Stock market volatility is a measure of risk in investment and it plays a key role in securities pricingand risk management. The paper empirically analyzes the relationship between India VIX andvolatility in Indian stock market. India VIX is a measure of implied volatility which reflects markets’expectation of future short-term stock market volatility. It is a volatility index based on the indexoption prices of Nifty. The study is based on time series data comprising of daily closing values ofCNX Nifty 50 index comprising of 1656 observations from March 2009 to December 2015. Theresults of the study reveal that India VIX has predictive power for future short-term stock marketvolatility. It has higher forecasting ability for upward stock market movements as compared todownward movements. Therefore, it is more a bullish in' . Please return only a json list of at most 3 Keywords corresponding to the Description:.<|eot_id|><|start_header_id|>assistant<|end_header_id|> {"Answer" : ["Implied volatility","India VIX","Investor fear gauge","Volatility forecasting"]} <|eot_id|>
 Here is the Description of a dataset. Description:'Stock market volatility is a measure of risk in investment and it plays a key role in securities pricingand risk management. The paper empirically analyzes the relationship between India VIX andvolatility in Indian stock market. India VIX is a measure of implied volatility which reflects markets’expectation of future short-term stock market volatility. It is a volatility index based on the indexoption prices of Nifty. The study is based on time series data comprising of daily closing values ofCNX Nifty 50 index comprising of 1656 observations from March 2009 to December 2015. Theresults of the study reveal that India VIX has predictive power for future short-term stock marketvolatility. It has higher forecasting ability for upward stock market movements as compared todownward movements. Therefore, it is more a bullish in' . Please return only a json list of at most 3 Keywords corresponding to the Description:.
Stock market volatility is a measure of risk in investment and it plays a key role in securities pricingand risk management. The paper empirically analyzes the relationship between India VIX andvolatility in Indian stock market. India VIX is a measure of implied volatility which reflects markets’expectation of future short-term stock market volatility. It is a volatility index based on the indexoption prices of Nifty. The study is based on time series data comprising of daily closing values ofCNX Nifty 50 index comprising of 1656 observations from March 2009 to December 2015. Theresults of the study reveal that India VIX has predictive power for future short-term stock marketvolatility. It has higher forecasting ability for upward stock market movements as compared todownward movements. Therefore, it is more a bullish in
Implied volatility; India VIX; Investor fear gauge; Volatility forecasting