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Gauging Expected Volatility with VIX Index Using ECM [PDF]
, 2023 This article examines expected volatility in the context of the VIX index. The VIX is recognized as a leading indicator of expected volatility. For this, we took five stock indices including S&P 500, S&P/ASX 200, Hang Seng, NIFTY 50 and EURO ...
Krishnan, Deepika
core +1 more source
Risk Spillovers in Oil-Related CDS, Stock and Credit Markets [PDF]
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There
Michael McAleer +3 more
core +6 more sources
Replicating the CBOE VIX using a synthetic volatility index trading algorithm
Cogent Economics & Finance, 2019 This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an undeveloped ...
Dayne Cary, Gary van Vuuren
doaj +1 more source
Stock market return predictability: Google pessimistic sentiments versus fear gauge
Cogent Economics & Finance, 2017 This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than
Ume Habibah +2 more
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Application of the VAR model in examining the determinants of returns of selected cryptocurrencies
BizInfo, 2023 The increase in the value of cryptocurrencies, market capitalization, and volume of trading on crypto exchanges resulted in a significant increase in the interest of researchers in this decentralized financial system.
Sunčica Stanković +2 more
doaj +1 more source
, 2022 The monthly data of the VIX index, S&P500 index, and Nasdaq Composite indexTHIS DATASET IS ARCHIVED AT DANS/EASY, BUT NOT ACCESSIBLE HERE.
Huu Manh, N (via Mendeley Data)
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Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures [PDF]
It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more ...
Michael McAleer +4 more
core +4 more sources
Emerging Markets Journal, 2022 This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to ...
Hülya Yılmaz, Bülent İlhan
doaj +1 more source
The jump component of S&P 500 volatility and the VIX index [PDF]
, 2009 Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of ...
Becker, Ralf +3 more
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Journal of Forecasting, EarlyView.ABSTRACT This paper develops Masked Asset–Regime Scenario Diffusion (MARS‐Diff), a leakage‐disciplined framework for probabilistic forecasting of multiday portfolio losses. The framework combines a regularized heterogeneous autoregressive model with exogenous predictors (HAR‐X) as its anchor, a train‐only masked representation of a high‐dimensional ...
Çağlar Sözen, Mervenur Sözen
wiley +1 more source