Implied volatility across geographical markets and asset classes

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Implied volatility across geographical markets and asset classes

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Implied volatility across geographical markets and asset classes

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA14-27047S" target="_blank" >GA14-27047S: Extrémní výkyvy na kapitálových trzích: teorie, empirie a regulační perspektiva</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Derivatives

ISSN

1074-1240

e-ISSN

—

Svazek periodika

25

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

17

Strana od-do

7-23

Kód UT WoS článku

000434062800002

EID výsledku v databázi Scopus

2-s2.0-85049130550