Results 201 to 210 of about 2,168 (228)

An Analysis of the VIX Volatility Index on the US Treasuries, Specifically During the Periods of Quantitative Easing

SSRN Electronic Journal, 2015
Volatility is a concern of many investors. In turbulent financial times there can be a flight from the equity market to treasury bonds in order to provide greater security, liquidity and guarantee of returns. Calculated as a weighted average of put and call options on the SP across models the change in VIX was predictive of the change in treasury.
openaire   +1 more source

Cross‐sectional analysis of emerging market volatility index (India VIX) with portfolio returns

International Journal of Emerging Markets, 2012
PurposeEarlier studies establish a positive relationship between volatility index (VIX) and the stock index returns. These studies are mainly restricted to developed markets and research in this regard in emerging markets is scarce. The purpose of this paper is to fill this gap.Design/methodology/approachThe paper studies the direct and cross‐sectional
openaire   +1 more source

VIX option‐implied volatility slope and VIX futures returns

Journal of Futures Markets, 2022
Jungah Yoon, Xinfeng Ruan, Jin E Zhang
exaly  

HyperVIX: A GWO‐Optimized ARIMA‐LSTM Hybrid Model for CBOE Volatility Index (VIX) Forecasting

Journal of Forecasting
ABSTRACT This paper introduced HyperVIX, a novel hybrid framework that integrates ARIMA modeling, LSTM neural networks, and Gray Wolf Optimizer (GWO) to forecast the Chicago Board Options Exchange (CBOE) Volatility Index (VIX).
Ran Wu, Abdullahi D. Ahmed, Mohammad Zoynul Abedin, Hongjun Zeng   +3 more
openaire   +1 more source

Forecasting realized volatility: New evidence from time‐varying jumps in VIX

Journal of Futures Markets, 2022
Anupam Dutta
exaly  

Roughness in VIX Index and in Realized Volatility: Rolling Window Estimation by Randomized Kolmogorov-Smirnov Distribution

The modeling and forecasting of financial market volatility constitute fundamental components of effective risk management and optimal asset allocation. Traditional models like GARCH and SV often fail to capture the long memory and roughness empirically observed in volatility, prompting the adoption of fractional processes.
Sergio Bianchi, Daniele Angelini
openaire   +2 more sources

Impact of India Volatility Index (VIX) in Derivative Options Trading with Reference to Nifty Index Options

The Review of Contemporary Scientific and Academic Studies, 2023
G. Prasanna Kumar, B. Rajesh Kumar
openaire   +1 more source

Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility

Journal of Forecasting, 2022
Adam Clements, Yin Liao, Yusui Tang
exaly  

Understanding Jumps in the High-Frequency Volatility Index (VIX)

SSRN Electronic Journal, 2012
openaire   +1 more source

VIX Index Spillover on Latin American Stock Markets Volatility

Estocástica: Finanzas y Riesgo, 2019
Alejandro Fonseca Ramírez, Roberto J. Santillán-Salgado, Francisco López Herrera   +2 more
openaire   +1 more source