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Modeling asymmetric volatility in the Chicago Board Options Exchange Volatility Index

2018
Empirical studies have shown that a large number of financial asset returns exhibit fat tails (leptokurtosis) and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the asymmetric GARCH-type models (TGARCH, EGARCH, APGARCH) to capture the stylized features of volatility in the Chicago Board Options ...
Demireli, Erhan, Ural, Mert
openaire +2 more sources

How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index

Energy, 2013
Qiang Ji, Ying Fan
exaly

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Management Science, 2009
Peter Christoffersen, Kris Jacobs
exaly

Volatility Index

2016
openaire +1 more source

Implied volatility index for the Norwegian equity market

International Review of Financial Analysis, 2016
Peter Molnár
exaly

Forecasting stock market volatility and information content of implied volatility index

Applied Economics, 2018
Pratap Chandra Pati, Prabina Rajib
exaly

Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Energy Economics, 2019
Yang Hou, Steven Li, Fenghua Wen
exaly