Implied and Observed Volatility

The following chart provides a comparison between:

• the Australian implied forward volatility index from equity option pricing (VIX);
• the observed rolling standard deviation from the ASX 200 index.
• the fitted GARCH(1,1) volatility for the ASX 200 index.

US Volatility

The following chart compares the US CBOE VIX index, the option implied volatility index, with the Volatility of VIX (often called the volatility of volatility index). It is closer to a risk appetite measure as reflects the pricing or market cost of expected future volatility.