Defining extreme volatility events at the S&P 500 Index

In this paper we estimated not-overlapped monthly historic standard deviations of the S&P 500 Index returns for the period 1950 – 2009, then using extreme value theory we defined extreme volatility events and introduced an alternative “fear scale” that is compared with the “fear index”.

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Year of publication:	2010-03
Authors:	Suarez, Ronny
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Extreme Value Theory \| Peak Over Threshold \| Generalized Pareto Distribution \| Return Level \| Extreme Volality Event

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C0 - Mathematical and Quantitative Methods. General ; G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008592971