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DOES FEAR (VIX INDEX) INCITE VOLATILITY IN FOOD PRICES? [PDF]

, 2017
Globally, the volatility trend in food prices has continued to increase. Different data give the impression that this volatility may be caused by the international finance markets’ propagation effect. For this reason, the study focused on the VIX (fear) index that is used to measure the movement in Standard & Poor’s 500 index. The main objective of
Çınar, Gökhan, Uzmay, Ayse, Çınar, Gökhan, Uzmay, Ayse   +3 more
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The information contents of vix index and range-based volatility on volatility forecasting performance of s&p 500 [PDF]

Economics Bulletin, 2009
In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005) to examine the forecasting performances of GJR and GJR-X ...
Jui-Cheng Hung, Ren-Xi Ni, Matthew C. Chang   +2 more
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Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility

Journal of Forecasting, 2021
AbstractThis paper considers how information from the implied volatility (IV) term structure can be harnessed to improve stock return volatility forecasting within the state‐of‐the‐art HAR model. Factors are extracted from the IV term structure and included as exogenous variables in the HAR framework. We found that including slope and curvature factors
Clements, Adam, Liao, Yin, Tang, Yusui
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FORECASTING VIX INDEX AS A MEASURE OF MARKET VOLATILITY BY THE USE OF GOOGLE QUERIES

ALTERNATIVE, 2022
Modelling human behavior is rather challenging as imitating it with proxy variables is not straightforward. In recent years, search engines collect and provide us with a plethora of data, which might be a rather effective way of analyzing or forecasting human behavior.
Bella GRIGORYAN, Tigran GRIGORYAN
openaire   +1 more source

Local volatility of volatility for the VIX market [PDF]

Review of Derivatives Research, 2013
Following a trend of sustained and accelerated growth, the VIX futures and options market has become a closely followed, active and liquid market. The standard stochastic volatility models—which focus on the modeling of instantaneous variance—are unable ...
Walter Farkaš, Farkaš Walter
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Emerging versus Developed Volatility Indexes: The Comparison of VIW20 and VIX Index

SSRN Electronic Journal, 2008
Modeling of financial markets volatility is one of the most significant issues of contemporary finance, especially while analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk management (VaR models, stress testing and worst case scenario), models of capital market and options valuation ...
Robert Slepaczuk, Grzegorz Zakrzewski
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International Transmission of Volatility: A Study on the Volatility Indexes VX1, VDAX and VIX

SSRN Electronic Journal, 2003
The relation between risk and return is very well documented in financial literature. While Sharpe (1964) proposed a linear relation between risk and return through the CAPM, Black (1976) pointed out later an asymmetric relation between these variables. Indeed, he noted that volatility was higher after a stock market fall than after a rise.
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A portfolio insurance strategy for volatility index (VIX) futures

The Quarterly Review of Economics and Finance, 2016
Abstract This paper proposes a methodology using VIX futures as an investment asset while controlling downside risk. For this purpose, three portfolio insurance ( PI) strategies are built by using option-based portfolio insurance ( OBPI) and constant proportion ( CPPI) for VIX futures.
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VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

SSRN Electronic Journal, 2018
In this paper we perform an empirical analysis on the VIX Index and we develop a series of portfolio strategies on implied volatility by using VIX Futures. First, we give a brief introduction to the VIX Index and what it represents. Then we focus on the VIX Futures, with an analysis of the VIX Futures curve and its relationship with the VIX Index.
Alberto Dondoni, Dennis Montagna, Mario Maggi   +2 more
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International Market Volatility Indexes: A Study on VX1, VDAX and VIX

SSRN Electronic Journal, 2003
It is well known that finding an accurate forecast of future volatility turns out to be very useful for pricing derivatives, hedging strategies or for the calculation of the Value at Risk. The market's assessment of the underlying asset's volatility as reflected in the option price is known as the implied volatility of the option.
Sofiane Aboura, Christophe Villa
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