Volatility regimes for the VIX index

Bibliographic Details
Main Author: Marabel Romo, Jacinto
Publication Date: 2011
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.21/1423
Summary: 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.
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spelling Volatility regimes for the VIX indexVIX indexMarkov chainRealized volatilityImplied volatilityVolatility regimesThis 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.RCIPLMarabel Romo, Jacinto2012-04-23T12:04:41Z2011-072011-07-01T00:00:00Zconference objectinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://hdl.handle.net/10400.21/1423enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-02-12T10:14:12Zoai:repositorio.ipl.pt:10400.21/1423Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T20:05:06.540084Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Volatility regimes for the VIX index
title Volatility regimes for the VIX index
spellingShingle Volatility regimes for the VIX index
Marabel Romo, Jacinto
VIX index
Markov chain
Realized volatility
Implied volatility
Volatility regimes
title_short Volatility regimes for the VIX index
title_full Volatility regimes for the VIX index
title_fullStr Volatility regimes for the VIX index
title_full_unstemmed Volatility regimes for the VIX index
title_sort Volatility regimes for the VIX index
author Marabel Romo, Jacinto
author_facet Marabel Romo, Jacinto
author_role author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Marabel Romo, Jacinto
dc.subject.por.fl_str_mv VIX index
Markov chain
Realized volatility
Implied volatility
Volatility regimes
topic VIX index
Markov chain
Realized volatility
Implied volatility
Volatility regimes
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011-07
2011-07-01T00:00:00Z
2012-04-23T12:04:41Z
dc.type.driver.fl_str_mv conference object
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/1423
url http://hdl.handle.net/10400.21/1423
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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