Real-world equity calibration: Key equity volatility assumptions
Document ID: 2011-2127
Published on: 11th March 2011
Author: Paolo Zagaglia
This note provides an update for our assumptions used in setting forecasts of equity volatility for both developed and emerging economies over a one-month horizon. Our analysis suggests using an option scaling factor of 0.92 for developed economies. For the case of emerging markets, our results indicate that a scaling factor of 1.52 is appropriate. We will keep on using these parameter values to initialise volatility during the forthcoming calibration round of March 2011.
