{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,11,20]],"date-time":"2025-11-20T18:35:43Z","timestamp":1763663743640,"version":"3.37.3"},"reference-count":25,"publisher":"World Scientific Pub Co Pte Ltd","issue":"06","funder":[{"DOI":"10.13039\/100007386","name":"Fondazione Cassa di Risparmio di Modena","doi-asserted-by":"publisher","award":["2015.0333"],"award-info":[{"award-number":["2015.0333"]}],"id":[{"id":"10.13039\/100007386","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/100009104","name":"Universit\u00e0 Degli Studi di Modena e Reggio Emila","doi-asserted-by":"publisher","award":["FAR2017-ARM"],"award-info":[{"award-number":["FAR2017-ARM"]}],"id":[{"id":"10.13039\/100009104","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/100009104","name":"Universit\u00e0 Degli Studi di Modena e Reggio Emila","doi-asserted-by":"publisher","award":["FAR2015-EU-SKEW"],"award-info":[{"award-number":["FAR2015-EU-SKEW"]}],"id":[{"id":"10.13039\/100009104","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Int. J. Info. Tech. Dec. Mak."],"published-print":{"date-parts":[[2018,11]]},"abstract":"<jats:p> The measurement of volatility is of fundamental importance in finance. Standard market practice adopted for volatility estimation from option prices leads to a considerable loss of information and the introduction of an element of arbitrariness in the volatility index computation. We propose to adopt fuzzy regression methods in order to include all the available information from option prices, and to obtain an informative volatility index. In fact, the obtained fuzzy volatility indices not only offer a most possible value, but also a lower and an upper bound for the interval of possible values, providing investors with an additional source of information. We also propose a defuzzification procedure to select a representative value within this interval. Moreover, we investigate the occurrence of truncation and discretization errors in volatility index computation by adopting an interpolation-extrapolation method. We also test the forecasting power of each volatility index on future realized volatility. <\/jats:p>","DOI":"10.1142\/s0219622018500335","type":"journal-article","created":{"date-parts":[[2018,5,27]],"date-time":"2018-05-27T23:41:33Z","timestamp":1527464493000},"page":"1659-1691","source":"Crossref","is-referenced-by-count":9,"title":["Indices for Financial Market Volatility Obtained Through Fuzzy Regression"],"prefix":"10.1142","volume":"17","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0738-6690","authenticated-orcid":false,"given":"Silvia","family":"Muzzioli","sequence":"first","affiliation":[{"name":"Department of Economics and CEFIN, University of Modena and Reggio Emilia, Viale Berengario 51, Modena 41121, Italy"}]},{"given":"Luca","family":"Gambarelli","sequence":"additional","affiliation":[{"name":"Department of Economics, University of Modena and Reggio Emilia, Viale Berengario 51, Modena 41121, Italy"}]},{"given":"Bernard","family":"De Baets","sequence":"additional","affiliation":[{"name":"KERMIT, Department of Mathematical Modelling, Statistics and Bioinformatics, Ghent University, Coupure Link 653, Ghent B-9000, Belgium"}]}],"member":"219","published-online":{"date-parts":[[2018,11,29]]},"reference":[{"key":"S0219622018500335BIB002","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-306-47630-3_21"},{"key":"S0219622018500335BIB003","doi-asserted-by":"publisher","DOI":"10.1109\/TFUZZ.2016.2574906"},{"key":"S0219622018500335BIB004","doi-asserted-by":"publisher","DOI":"10.1016\/j.fss.2013.01.010"},{"key":"S0219622018500335BIB005","doi-asserted-by":"publisher","DOI":"10.1007\/s10700-013-9161-1"},{"key":"S0219622018500335BIB006","doi-asserted-by":"publisher","DOI":"10.1016\/j.fss.2014.11.015"},{"key":"S0219622018500335BIB007","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"S0219622018500335BIB008","doi-asserted-by":"publisher","DOI":"10.1109\/TSMC.1982.4308925"},{"key":"S0219622018500335BIB009","doi-asserted-by":"publisher","DOI":"10.1016\/0165-0114(91)90065-X"},{"key":"S0219622018500335BIB010","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-0114(98)00370-4"},{"key":"S0219622018500335BIB011","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi027"},{"key":"S0219622018500335BIB012","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00228"},{"key":"S0219622018500335BIB013","doi-asserted-by":"publisher","DOI":"10.1198\/073500102753410444"},{"key":"S0219622018500335BIB014","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"S0219622018500335BIB015","first-page":"3","volume-title":"Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance","author":"Mincer J.","year":"1969"},{"key":"S0219622018500335BIB016","doi-asserted-by":"publisher","DOI":"10.1080\/13518471003640134"},{"key":"S0219622018500335BIB017","doi-asserted-by":"publisher","DOI":"10.1057\/jors.2015.1"},{"key":"S0219622018500335BIB018","doi-asserted-by":"publisher","DOI":"10.1007\/s10614-012-9343-x"},{"issue":"15","key":"S0219622018500335BIB019","first-page":"1","volume":"3","author":"Mukherjee I.","year":"2017","journal-title":"Financial. 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