I am wondering if there is an implied volatility index for Asia ex Japan markets, just like the VIX index for the US market. I couldn’t find one, so I was thinking of taking the weighted average of implied volatility indices of Australia (57.44%), Hong Kong (29.94%) , New Zealand (1.82%), and Singapore (10.8%), where the weights are the country weights of MSCI Pacific ex Japan Index. However, it looks like New Zealand and Singapore do not have the indices as well. Does anyone know of the existence of those indices? Thank you.
There are option markets on most macro ETFs, although they are wide. If you have access to option market data, you just have to find the options on an ETF that tracks the index you want. The average of those things you did will be misleading, as you are not taking into account implied correlation.
Thank you. Is it something I can find on Bloomberg?