Study Findings on Risk Management Are Outlined in Reports from Krea University (Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy): Insurance – Risk Management

2023 JAN 11 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Research findings on risk management are discussed in a new report. According to news reporting out of Krea University by NewsRx editors, research stated, “Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index).”

Our news journalists obtained a quote from the research from Krea University: “This study evaluates the influence of various global implied volatility indices in forecasting the day-to-day binary movements in the implied volatility index of India, denoted by the symbol ‘India VIX’. Historical daily data from 18 September, 2009, to 2 December, 2021, was acquired, and the target labels were created from changes in the India VIX. A set of classifiers, consisting of Logistic Regression, Random Forest and Extreme Gradient Boosting (XG Boost), were applied to rank the feature variables according to their importance. This study revealed that India’s VIX was impacted most by the previous day’s changes in the closing value of the US implied volatility indices, except for the Chicago Board Options Exchange (CBOE) Eurocurrency volatility index. Additionally, the Eurozone implied volatility index was also important. However, the implied volatility indices of Australian Hang Seng and Japan were the least important.”

According to the news reporters, the research concluded: “This study’s outcomes help Indian traders in creating a watch list of important volatility indices.”

For more information on this research see: Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy. Risks, 2022,10(223):223. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks10120223.

Our news editors report that additional information may be obtained by contacting Akhilesh Prasad, IFMR Graduate School of Business, Krea University, Sri City 517646, India. Additional authors for this research include Priti Bakhshi.

(Our reports deliver fact-based news of research and discoveries from around the world.)