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The jump component of S&P 500 volatility and the VIX index [PDF]
Journal of Banking & Finance, 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 past volatility to generate forecasts. Implied volatility has the potential to reflect information that
Becker, Ralf +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
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The information content of implied volatility index (India VIX) [PDF]
Global Business Perspectives, 2013 This paper examines the predictive ability of India VIX as the best forecast of realized return volatility. This study takes into account the implied volatility index (India VIX), also known as the investors fear gauge index. We have employed OLS, 2SLS procedure and quantile regression to study the predictive power of implied volatility index ...
Imlak Shaikh, Puja Padhi
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Modeling S&P500 returns with GARCH models
Latin American Journal of Central Banking, 2023 This paper provides several estimates of the GARCH models’ parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the ...
Rodrigo Alfaro, Alejandra Inzunza
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The Interactions between COVID-19 Cases in the USA, the VIX Index and Major Stock Markets
International Journal of Financial Studies, 2021 With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during the ...
Simon Grima +3 more
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Can Bitcoin be a safe haven in fear sentiment?
Technological and Economic Development of Economy, 2022 This paper explores how fear sentiment affects the price of Bitcoin by employing the rolling-window Granger causality tests. The analysis reveals negative influences from the volatility index (VIX) to Bitcoin price (BTC), which ascertains that Bitcoin ...
Chi-Wei Su +3 more
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The Relevance of Cboe Volatility Index to Stock Markets in Emerging Economies
Organizations and Markets in Emerging Economies, 2015 We examine the capability of CBOE S&P500 Volatility index (VIX) to determine returns of emerging stock market indices as compared to local stock markets volatility indicators.
Tamara Mariničevaitė +1 more
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The VIX Volatility Index - A Very Thorough Look at It
SSRN Electronic Journal, 2019 The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measureof the stock market’s expectation of volatility implied by S&P 500 index options,calculated and published by the Chicago Board Options Exchange (CBOE). It iscolloquially referred to as the fear index or the fear gauge.
Osterrieder, Jörg +2 more
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Cogent Economics & Finance, 2020 Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the ...
Jalaj Pathak, Soumya G. Deb
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Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2023 This study aims to examine the dynamic relationship between Islamic markets and global financial risk factors using the Dow Jones Islamic Markets World Index (DJIM), Participation 30 Index (KATLM 30), and the CBOE Volatility Index (VIX).
Halilibrahim Gökgöz, Cantürk Kayahan
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