Oil volatilityRisk spilloverQuantilesPrevious studies indicate that the US equity market implied volatility index (VIX) impacts the crude oil market volatility. However, the VIX typically reflects macroeconomic fluctuations, little affected by social media or investor perception changes. In this paper, ...
This study examines the impacts of the US inflation rate on the bond prices of G7 countries across different maturities using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model, a GED-GARCH (1,1) procedure, is adopted to deal ...
The Chicago Board Options Exchange’s Volatility Index, also known as the VIX, is designed to produce a measure of constant, 30-day expected (implied) volatility of the S&P 500 equity market. It does so by aggregating a range of put and call option prices into a single number. Also ...
1. 这里需要关注到这个option的标的是波动率:“Options on VIX Index”。 波动率的方向只有上涨或者下跌,对应的以波动率为标的的option,在波动率上涨的时候就是long call啦,同时为了降低成本就可以short put来弥补一部分的期权费。 2. 你说的应该用“long put + short call”,我明白你的意思哈,但这里你说的ca...
1. “Wu’s option strategy will lose proportionally to its exposure to the short puts if the VIX futures’ settlement price is below 14.75 (put strike).”这个地方,其实是在针对short put这个单独的头寸来说的,这个put的执行价格是14.75,因此当股价跌破这个执行价格的时候,short put的一方会有损失。 2...
4. Volatility good for return?Data back to 1990 also suggests that higher volatility has produced higher short-term returns. Our analysis finds that muted VIX levels of 12 and below have resulted in S&P 500 returns of roughly 5% six months later. This compares to six-month returns of 16% ...
the possibility of a second wave of infections, theUS presidential electionin November and lowoil prices. However, stock prices and valuations are recovering, improving investor sentiment, and the volatility index (VIX) is back to normal, approaching levels more conducive for companies to go public...
Modelling volatility spillovers from the US equity market to ASEAN stock markets This study examines return and volatility spillovers from the US and Japanese stock markets to three South Asian capital markets 鈥 (i) the Bombay Stock Exchange, (ii) the Karachi Stock Exchange, and (iii) the Colo...
We use six uncertainty measures, namely, the Chicago Board of Exchange (CBOE) volatility index (VIX), EPU index, equity market-related economic uncertainty (EMU) index, oil price volatility index (OVX), gold volatility index (GVZ), and federal funds rate (FFR). The PCQ is estimated for a...
Implied Volatility Indices, viz. the VIX, are utilised directly in forecasting models (Borovykh et al., 2018) to capture the demand for hedging, highlighting, from a sentiment point of view, the state of fear in the market. Our novel approach focuses on the idea that the absolute level ...