Stock returns and implied volatility : a new VAR approach

Bong Soo Lee; Doojin Ryu

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published implied volatility index, shows impulse response dynamics that are clearly distinct from those for the VIX, an implied volatility index for the developed market. -- Asymmetric volatility ; vector autoregression ; VIX ; VKOSPI

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Year of publication:	2012
Authors:	Lee, Bong-soo ; Ryu, Doojin
Publisher:	Kiel : Kiel Inst. for the World Economy
Subject:	Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Volatilität \| Volatility \| Aktienindex \| Stock index \| VAR-Modell \| VAR model \| USA \| United States \| Südkorea \| South Korea