analysis comparing the volatility-forecasting capabilities of event indices and implied
volatility indices suggested that they provide complementary information.
In ongoing research, we plan to construct customized combinations of the 45 base
indices to suit a variety of applications (e.g., trading, risk management, and regulatory
oversight). Moreover, we are developing a set of adaptive algorithms to automate the
process by which new indices are created and old indices are updated to reflect changing
market conditions.
Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices 93