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Measuring the Volatility Spread of VIX Index on Borsa Istanbul
2022With the financial integration in today’s conditions, we see that the world stock markets are affected by each other quickly. In particular, the stock markets of developed countries influence the stock markets of developing countries. This situation is of great importance in the risk-taking capacity of individual and institutional investors in their ...
SAĞLAM, Kübra, KARĞIN, Mahmut
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Pricing volatility options under stochastic skew with application to the VIX index
The European Journal of Finance, 2014In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely independent of the volatility level.
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The forecasting performance of implied volatility index: evidence from India VIX
Economic Change and Restructuring, 2014In this paper, we investigate the forecasting performance of ex-post an ex-ante volatility forecasts against realized return volatility of various time horizon. The competing volatility forecasts are implied volatility, RiskMetrics and GJR-GARCH; the empirical results uncover that implied volatility dominates the other volatility forecast in the ...
Imlak Shaikh, Puja Padhi
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The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise
Letters in Spatial and Resource Sciences, 2020This study aims to test the volatility spillover effects among the global risk appetite, the VIX (also known as the fear index) and the RISE index (known as the indicator of investor risk appetite index in Turkey). A temporary or permanent causality Granger and Breitung Candelon (Breitung and Candelon in J Econom 132(2):363–378, 2006) frequency domain ...
Saffet Akdag +2 more
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India VIX: Examining the Negative and Asymmetric Volatility Index – Market Return Relationship
SSRN Electronic Journal, 2012This paper examines the behavior of India Volatility Index (India VIX). We study two aspects: First, the negative correlation between changes in India VIX and market returns. Second, the asymmetric nature of the changes in India VIX with respect to market returns.
Gangineni Dhananjhay +2 more
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Understanding the Relationship between VIX and the S&P 500 Index Volatility
SSRN Electronic Journal, 2013We study the VIX Index, often referred to as “the investor’s fear gauge,” relative to the observed volatility of the S&P 500 Index to investigate the relationship between these two measures of financial markets variability and to understand the directionality of their influence on one another. Calculated as a weighted average of put and call options on
Irena Vodenska, William John Chambers
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Using the Volatility Index (VIX) As a Trading Indicator
The Journal of Beta Investment Strategies, 2023Steven Dolvin, Bryan Foltice
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Monitoring anomaly for time series of volatility index(VIX)
Journal of the Korean Data And Information Science Society, 2022Min-Jo Kim, Sangyeol Lee
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Markov Switching and Market Volatility: Evidence from the VIX Index
This paper investigates the presence of structural regime shifts in financial market volatility using the VIX index as a proxy for investor sentiment. By applying a two-regime Markov Switching model to monthly changes in the VIX, we identify transitions between periods of low and high market uncertainty.Diogo Daniel Bandeira de Albuquerque +3 more
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Revisiting the VIX: A Market Sentiment, Market Direction, or Volatility Index?
Abstract: We examine the relationship between the VIX and the S&P 500, especially regarding whether the VIX can predict the broad stock market’s future direction or volatility. Using all available data for the VIX’s daily closing prices during the 03/01/1990-31/01/2023 period (8,334 trading days), our findings indicate that the VIX is better an ...Jose Perezgonzalez, Thanh Ngo
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