The volatility index of the Chicago Board Options Exchange (VIX) was the first to be established, and it has given rise to international imitations worldwide as it is considered to be a barometer of investor fear. Starting from this volatility index, the aim of this paper is threefold. By adopting the VIX methodology, we construct a volatility index for three European countries (Austria, Finland and Spain) which currently do not provide this kind of market information for investors. Second, we investigate the properties of various volatility indices. In particular, we test their ability to act as fear indicators and as predictors of future returns. Moreover, we seek to cast light on the term structure of the proposed volatility indices, by computing spot and forward implied volatility indices for different times to maturity (30, 60 and 90 days). Our results indicate that volatility indices are useful not only for investors to improve their trading decisions, but also for policy-makers to choose the appropriate economic measures to promote stability in the market.

芝加哥期权交易所（VIX）的波动率指数是第一个建立的指数，它被认为是投资者担忧的晴雨表，因此在世界范围内引起了国际上的模仿。从这个波动率指数出发，本文的目的是三重的。通过采用VIX方法，我们为三个欧洲国家（奥地利，芬兰和西班牙）构建了一个波动率指数，这三个欧洲国家目前未为投资者提供这种市场信息。第二，我们研究各种波动率指数的性质。特别是，我们测试了他们充当恐惧指标和预测未来收益的能力。此外，我们试图通过计算不同到期日（30天，60天和90天）的现货和远期隐含波动率指数来阐明建议的波动率指数的期限结构。