Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1423
Título: Volatility regimes for the VIX index
Autor: Marabel Romo, Jacinto
Palavras-chave: VIX index
Markov chain
Realized volatility
Implied volatility
Volatility regimes
Data: Jul-2011
Resumo: This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the evolution of the VIX index. Since the time evolution of the VIX index seems to indicate that its conditional variance is not constant over time, I consider two different versions of the model. In the first one, the variance of the index is a function of the volatility regime, whereas the second version includes an autoregressive conditional heteroskedasticity (ARCH) specification for the conditional variance of the index.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1423
Aparece nas colecções:ISCAL - Comunicações

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