Search Results - subject:"Implied Volatility Index"

Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict

Zhang, Yi; Zhou, Long; Liu, Zhidong; Wu, Baoxiu - 2025

Persistent link: https://www.econbiz.de/10015359866

Is implied volatility index (VIX) a forward-looking indicator of stock market movements in India?

Acharya, Amarendra; Seet, Subrat Kumar; Salvi, Prakash A. - 2022

Persistent link: https://www.econbiz.de/10013402152

A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index

Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172

Persistent link: https://www.econbiz.de/10012547707

Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics 5 (2017) 1, pp. 1-38

For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...

Persistent link: https://www.econbiz.de/10011755356

Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics : open access journal 5 (2017) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10011653689

Modeling and predicting the market volatility index: The case of VKOSPI

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - 2015

) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S … return and US implied volatility index are incorporated into the HAR framework, the model's both in-sample fitting and out …

Persistent link: https://www.econbiz.de/10010478805

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-35, pp. 1-34

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …. When two global factors, both the US stock market return and the US implied volatility index, are incorporated into the HAR …

Persistent link: https://www.econbiz.de/10011379844

Modeling and predicting the market volatility index: The case of VKOSPI

Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015

Persistent link: https://www.econbiz.de/10011170357

Modeling and predicting the market volatility index : the case of VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

Persistent link: https://www.econbiz.de/10010478493

ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES

Nishina, Kazuhiko; Maghrebi, Nabil; Holmes, Mark J. - Graduate School of Economics, Osaka University - 2006

This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of implied volatility for the US and Japanese markets. The evidence from Markov regime-switching models suggests that volatility expectations are likely to be governed by regimes featuring a long...

Persistent link: https://www.econbiz.de/10005774277