Volatility regimes for the VIX index
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...
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| Formato: | conferenceObject |
| Idioma: | eng |
| Publicado em: |
2012
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| Texto completo: | http://hdl.handle.net/10400.21/1423 |
| País: | Portugal |
| Oai: | oai:repositorio.ipl.pt:10400.21/1423 |