Implied volatility across geographical markets and asset classes

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F18%3A00490423" target="_blank" >RIV/67985998:_____/18:00490423 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.3905/jod.2018.1.065" target="_blank" >http://dx.doi.org/10.3905/jod.2018.1.065</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3905/jod.2018.1.065" target="_blank" >10.3905/jod.2018.1.065</a>

Result language
angličtina
Original language name
Implied volatility across geographical markets and asset classes
Original language description
Derivatives based on the VIX index and related indexes in the U.S. and around the world have proliferated enormously in the last few years. This article reviews the behavior of VIX-like indexes in 14 markets in 8 countries. Eleven are stock indexes, 2 are commodities, and the last is the USD–EUR exchange rate. A simple GARCH-family model for the change and volatility of the index is fitted to index returns, implied volatility (i.e., lagged IV), and the U.S. VIX (as a proxy for global volatility conditions). Separate coefficients are estimated for positive and negative variable values, which reveals that negative market returns cause sharp and immediate increases in the volatility index, but positive returns reduce implied volatility by a lesser amount and the effect is spread out over time. Including lagged factors from the previous day was important, especially for the smaller markets. The U.S. VIX was found to influence all of the other markets, thus suggesting the existence of a global volatility factor that can be proxied by the VIX, and the evidence indicates that volatility appears to spill over from the first-tier markets to the smaller ones.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA14-27047S" target="_blank" >GA14-27047S: Extreme variations of capital markets: theory, empirics and regulatory perspective</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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