selecting hyperparameters, we provide the recommended range of the hyperparameters. Using empirical data on the VIX index …

We show that the VIX Index structurally underestimates model-free implied volatility because its implementation omits … correction to the VIX Index ex-post as well as how to modify its implementation accordingly. Furthermore, we show that the degree … low volatility. This cannot be observed for the Volatility-of-VIX Index. …

VIX Index as an indicator of uncertainty in the stock markets, which was followed by the OVX Index as an indicator of …

the VIX index has a positive impact on the leverage of the corporate market. We also find robust evidence that the US …-listed firms tend to use more market leverage in the future year when the VIX index ascends. Furthermore, we find a more prominent … positive effect of the change in the VIX index on the long-term market leverage than the short-term market leverage. Different …

VIX Index as an indicator of uncertainty in the stock markets, which was followed by the OVX Index as an indicator of …