Relevant bibliographies by topics / Implied volatility (VIX、VXN)

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters

Academic literature on the topic 'Implied volatility (VIX、VXN)'

Author: Grafiati
Published: 4 June 2021
Last updated: 5 February 2022

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Journal articles on the topic "Implied volatility (VIX、VXN)"

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Psaradellis, Ioannis, and Georgios Sermpinis. "Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices." International Journal of Forecasting 32, no. 4 (2016): 1268–83. http://dx.doi.org/10.1016/j.ijforecast.2016.05.004.

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Moghaddam, M. Dashti, Zhiyuan Liu, and R. A. Serota. "Distribution of Historic Market Data – Implied and Realized Volatility." Applied Economics and Finance 6, no. 5 (2019): 104. http://dx.doi.org/10.11114/aef.v6i5.4416.

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We undertake a systematic comparison between implied volatility, as represented by VIX (new methodology) and VXO (old methodology) and realized volatility. We do not find substantial difference in accuracy between VIX and VXO. We compare visually and statistically the distributions of realized and implied variance (volatility squared) and study the distribution of their ratio. The ratio distributions are studied both for the known realized variance (for the current month) and for the predicted realized variance (for the following month). We show that the ratio of the two is best fitted by a Be
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Magner, Nicolás, Jaime F. Lavin, Mauricio Valle, and Nicolás Hardy. "The predictive power of stock market’s expectations volatility: A financial synchronization phenomenon." PLOS ONE 16, no. 5 (2021): e0250846. http://dx.doi.org/10.1371/journal.pone.0250846.

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We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market’s volatility indices’ predictive power on synchronizing global equity indices returns. We built the correlation network of 26 stock indices and implemented in-sample and out-of-sample tests to evaluate the predictive power of VIX, VSTOXX, and VXJ implied volatility indices. To measure markets’ synchronization, we use the Minimum Spanning Tree length and the length of the Planar Maximally Filtered Graph. Our results indicate a
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Shaikh, Imlak. "The Brexit and investors' fear." Ekonomski pregled 69, no. 4 (2018): 396–442. http://dx.doi.org/10.32910/ep.69.4.3.

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This paper investigates most important implied volatility indices of Eurozone, Asia-Pacifi c, Africa, Canada and USA on the event of Brexit election of UK. Since the international economic events signal new information to market participants, the Brexit event has gauged in the 12 global markets’ volatility indices such as VFTSE, VIX, VDAX, VSMI, VSTOXX, VXJ, VHSI, VKOSPI, NVIX, VASX, VXIC and SAVI. A high fear of index about 20-36% has been noticed on the day of Brexit decision. Abnormal returns and cumulative abnormal returns on volatility index are found to be positive, while majority of glo
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SALVI, GIOVANNI, and ANATOLIY V. SWISHCHUK. "COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES." International Journal of Theoretical and Applied Finance 17, no. 01 (2014): 1450006. http://dx.doi.org/10.1142/s021902491450006x.

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In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As an example, we consider stochastic volatility driven by a two-state continuous Markov chain. In this case, numerical examples are presented for VIX and VXN volatility indices (S&P 500 and NASDAQ-100, from January 2004 to June 2012). We also use VIX (January 2004 to June 2012) to price variance and volatility swaps for the two-state Markov-modulated volatility, and we present a numerical result in this case.
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Arak, Marcelle, and Naranchimeg Mijid. "The VIX and VXN volatility measures: Fear gauges or forecasts?" Derivatives Use, Trading & Regulation 12, no. 1 (2006): 14–27. http://dx.doi.org/10.1057/palgrave.dutr.1840040.

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Guo, Zi-Yi. "A Model of Plausible, Severe and Useful Stress Scenarios for VIX Shocks." Applied Economics and Finance 4, no. 3 (2017): 155. http://dx.doi.org/10.11114/aef.v4i3.2309.

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The implied volatility is a key component in determining option prices, and consequently a model of VIX shocks in stress testing plays a crucial role in quantifying market risk of derivative portfolios. Based on hypothetical moves of SPX spot price, we first apply the “sticky strike” rule to the existing SPX volatility surface and shock the implied volatility level by an additional relative amount, which would be determined by the analysis of historical VIX fluctuations. Then, we calculate the after-shock VIX index level according to the CBOE VIX White paper, and finally determine the daily VI
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Shaikh, Imlak, and Puja Padhi. "On the relationship between implied volatility index and equity index returns." Journal of Economic Studies 43, no. 1 (2016): 27–47. http://dx.doi.org/10.1108/jes-12-2013-0198.

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Purpose – The purpose of this paper is to analyze the asymmetric contemporaneous relationship between implied volatility index (India VIX) and Equity Index (S & P CNX Nifty Index). In addition, the study also analyzes the seasonality of implied volatility index in the form of day-of-the-week effects and option expiration cycle. Design/methodology/approach – This study employs simple OLS estimation to analyze the contemporaneous relationship among the volatility index and stock index. In order to obtain robust results, the analysis has been presented for the calendar years and sub-periods.
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G. Russon, Manuel, and Ahmad F. Vakil. "On the non-linear relationship between VIX and realized SP500 volatility." Investment Management and Financial Innovations 14, no. 2 (2017): 200–206. http://dx.doi.org/10.21511/imfi.14(2-1).2017.05.

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VIX, a ticker symbol for Volatility Index, measures the implied annual volatility of at-the-money SP500 Index Options. Conventional wisdom presumes VIX to measure the magnitude (positive or negative) of possible movements in future equity prices, with movements being a positive function of VIX. This research investigates the nature of the relationship between VIX and SP500 volatility, and answers the question as to whether that relationship is linear or nonlinear. Based on this research paper, the authors conclude that the realized SP500 volatility is nonlinear, and grows with the level of VIX
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Chittineni, Jyothi. "Indian Implied Volatility Index: A Macroeconomic Study." Applied Economics and Finance 5, no. 5 (2018): 75. http://dx.doi.org/10.11114/aef.v5i5.3585.

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The study investigates the dynamic behavior of Indian implied volatility index and its time dependent conditional correlations with selected macroeconomic variables. The volatility of macroeconomic variables is likely to put burden on inflation and also influence the economic decisions as investment vehicles. Thus, the volatility of these variables has become central issue for fund managers and investors. The study uses three macroeconomic variables, oil price, gold price and federal fund rate over the period 2nd March 2009 to 30th June 2018. The Dynamic Regime-Switching model reveals that the
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Dissertations / Theses on the topic "Implied volatility (VIX、VXN)"

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Kozyreva, Maria. "How reliable is implied volatility A comparison between implied and actual volatility on an index at the Nordic Market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1635.

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<p>Volatility forecast plays a central role in the financial decision making process. An intrinsic purpose of any investor is profit earning. For that purpose investors need to estimate the risk. One of the most efficient</p><p>methods to this end is the volatility estimation. In this theses I compare the CBOE Volatility Index, (VIX) with the actual volatility on an index at the Nordic Market. The actual volatility is defined as the one-day-ahead prediction as calculated by using the GARCH(1,1) model. By using the VIX model I performed consecutive predictions 30 days ahead between February the
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Santawisook, Patchara. "Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods." Digital WPI, 2015. https://digitalcommons.wpi.edu/etd-theses/591.

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The 2008 financial crisis provides a valuable opportunity to study empirical data of market volatility during severe financial crisis. In this thesis, we study the implied volatility of VIX options during the crisis (2008) and a relatively calm period (2011). We present a method of calculating the implied volatility of VIX options and fit the implied volatilities using a 4th degree spline interpolation and propose method of extracting risk neutral density from fitted data. We analyze the slope and the level of the fitted implied volatility of VIX options during those periods. The results show
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Zhang, Siran. "The Predictive Power of the VIX Futures Prices on Future Realized Volatility." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2174.

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Many past literatures have examined the predictive power of implied volatility versus that of historical volatility, but they have showed divergent conclusions. One of the major differences among these studies is the methods that they used to obtain implied volatility. The VIX index, introduced in 1993, provides a model-free and directly observable source of implied volatility data. The VIX futures is an actively traded VIX derivative product, and its prices are believed to contain market’s expectation about future volatility. By analyzing the relationship between the VIX futures prices and th
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de, Silva Timothy H. "Are Volatility Expectations in Different Countries Interdependent? A Data-Driven Solution to Structural VAR Identification for Implied Equity Volatility Indices." Scholarship @ Claremont, 2018. http://scholarship.claremont.edu/cmc_theses/1772.

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Over the past couple of decades, the number of volatility indices has increased rapidly. These indices seek to represent the market’s expectation of realized volatility over the coming month, based on the prices of options traded on each underlying equity index. Although the dynamics of realized volatility spillover have been studied extensively, very few studies exists that examine the spillover between these volatility indices. By using DAG-based structural vector autoregression, this paper provides evidence that implied volatility spillover differs from realized volatility spillover. Throug
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Bigdeli, Sam, and Filip Bengtsson. "Portfolio Optimization : A DCC-GARCH forecast with implied volatility." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-85992.

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This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external regressor of an implied volatility index (VIX). We then simulate returns using a rolling window of 500 daily observations and construct portfolios based on the allocation methods. The results suggest that the model can sufficiently estimate expected r
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Cheng, Peng-Chang, and 程鵬章. "Characteristics of Implied Volatility Surface in Various VIX Levels." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/08847435382469077257.

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碩士<br>國立中興大學<br>高階經理人碩士在職專班<br>98<br>VIX index is implied by the current prices of underlying index option and represents expected future market volatility over the next 30 calendar days. VIX can be thought of as a weighted average of implied volatilities for put/call options across a series of strikes. Volatility Skew/Smile phenomenon result from volatility expected discrepancies between various exercise prices. We adopt the trading time, but not the expiration time, as time axis in IVS construction, this is helpful to observe relative daily variations between VIX and volatility skew. On this
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Ruas, João Pedro Bento. "Market neutral volatility: a different approach to the S&P 500 options market efficiency." Master's thesis, 2009. http://hdl.handle.net/10071/2523.

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Under the efficient market hypothesis, an options price’s implied volatility should be the best possible forecast of the future realized volatility of the underlying asset. In spite of this theoretical proposition, a vast number of studies in the financial literature found that implied volatility is a biased estimator of the future realized volatility. These findings suggest that we are either in the presence of an inefficient market or that econometric models fail on that purpose. In this thesis, by introducing the concept of Market Neutral Volatility and the derivation of a theoretica
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Φάσσας, Αθανάσιος. "Υποδείγματα πρόβλεψης μεταβλητότητας σε χρηματοοικονομικές αγορές : μετοχές, δικαιώματα προαίρεσης, νομίσματα". Thesis, 2009. http://nemertes.lis.upatras.gr/jspui/handle/10889/1769.

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Η ακριβής πρόβλεψη της μελλοντικής μεταβλητότητας αποδεικνύεται ιδιαίτερα χρήσιμη για την τιμολόγηση παραγώγων προϊόντων και την αντιστάθμιση κινδύνων στη διαχείριση χαρτοφυλακίων. H τεκμαρτή μεταβλητότητα, όπως αυτή αντανακλάται στις τιμές των δικαιωμάτων προαίρεσης, αποτελεί την εκτίμηση της αγοράς για τη μελλοντική πραγματοποιηθείσα μεταβλητότητα και έχει αποδειχθεί ότι είναι πιο αποτελεσματική από την αντίστοιχη πρόβλεψη που προκύπτει από την ανάλυση ιστορικών χρονοσειρών. Η παρούσα διατριβή πραγματεύεται τη δημιουργία ενός δείκτη τεκμαρτής μεταβλητότητας για την Ελληνική χρηματιστηριακή α
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Book chapters on the topic "Implied volatility (VIX、VXN)"

1

"Understanding Implied Volatility." In Trading VIX Derivatives. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201274.ch1.

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Journal articles
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