Analiza wrażliwości zmienności implikowanej względem instrumentu podstawowego opcji – podejście dynamiczne
Analysis of the sensitivity of implied volatility to the underlying instrument of option – a dynamic approach

Summary/Abstract: This paper presents the procedure and results of the application of three approaches in the analysis of the sensitivity of market implied volatility to the underlying instrument. The empirical results relate to the application of exponential smoothing; regression model, in which the conditional variance is explained by the GARCH(1,1) model; and the dynamic conditional correlation (DCC) model. These results show significant differences in the dynamics of shaping the regression coefficients depending on the applied approach.

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