A carregar...
Publicação
The impact of the war in Ukraine on implied volatility indices: VIX, VSTOXX, JNIV and RVI
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 696.34 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
Em fevereiro de 2022, a Rússia invadiu a Ucrânia desencadeando uma crise energética, que resultou no aumento da inflação, das taxas de juro e numa queda significativa no mercado acionista americano e europeu. Esta investigação tem como objetivo analisar o impacto que a guerra na Ucrânia causou na volatilidade das rendibilidades dos índices de volatilidade implícita: VIX, VSTOXX, JNIV e RVI, utilizando o modelo EGARCH. O horizonte temporal considerado na amostra inclui o período de estabilidade entre 2017 e 2019, e o período da guerra na Ucrânia entre 21/02/2022 e 06/10/2023. Os resultados indicam que o choque causado pela guerra na Ucrânia aumentou a incerteza, afetando significativamente a volatilidade futura das rendibilidades em todos os índices analisados, tendo tido maior impacto no RVI. No período inicial da guerra o índice que teve a sua volatilidade mais afetada foi o RVI e os menos afetados foram o VSTOXX e o JNIV. Enquanto que no período em que o mercado estava a subir o JNIV e o VSTOXX mostraram-se mais sensíveis às más notícias do que o VIX.
In February 2022, Russia invaded Ukraine, triggering an energy crisis that resulted in increased inflation, interest rates, and a significant decline in the American and European stock markets. This investigation aims to analyze the impact of the war in Ukraine on the volatility of returns of the volatility indices: VIX, VSTOXX, JNIV, and RVI, using the EGARCH model. The time horizon considered in the sample includes the stability period between 2017 and 2019, and the period of the war in Ukraine from 21/02/2022 to 06/10/2023. The results indicate that the shock caused by the war in Ukraine increased uncertainty, significantly affecting the future volatility of returns across all analyzed indices, with the greatest impact on the RVI. During the initial period of the war, the RVI was the index whose volatility was most affected, while the VSTOXX and JNIV were the least affected. In contrast, during the period of market recovery, the JNIV and VSTOXX were more sensitive to bad news than the VIX.
In February 2022, Russia invaded Ukraine, triggering an energy crisis that resulted in increased inflation, interest rates, and a significant decline in the American and European stock markets. This investigation aims to analyze the impact of the war in Ukraine on the volatility of returns of the volatility indices: VIX, VSTOXX, JNIV, and RVI, using the EGARCH model. The time horizon considered in the sample includes the stability period between 2017 and 2019, and the period of the war in Ukraine from 21/02/2022 to 06/10/2023. The results indicate that the shock caused by the war in Ukraine increased uncertainty, significantly affecting the future volatility of returns across all analyzed indices, with the greatest impact on the RVI. During the initial period of the war, the RVI was the index whose volatility was most affected, while the VSTOXX and JNIV were the least affected. In contrast, during the period of market recovery, the JNIV and VSTOXX were more sensitive to bad news than the VIX.
Descrição
Palavras-chave
Guerra na Ucrânia Mercados financeiros Volatilidade Índices de Volatilidade Implícita Modelo EGARCH Ukraine war Financial markets Volatility Implied Volatility Indices EGARCH model IPL/IDI&CA2024/CRYPTORISK_ISCAL