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...

Full description

Bibliographic Details
Main Author: Marabel Romo, Jacinto (author)
Format: conferenceObject
Language:eng
Published: 2012
Subjects:
VIX index
Markov chain
Realized volatility
Implied volatility
Volatility regimes
Online Access:http://hdl.handle.net/10400.21/1423
Country:Portugal
Oai:oai:repositorio.ipl.pt:10400.21/1423

Internet

http://hdl.handle.net/10400.21/1423

Similar Items