The Asian financial crisis : the start of a regime switch in volatility
Using a Markov switching model applied to the VIX and VDAX implied volatility indexes, we find that the volatility of the U.S. S&P100 index and German DAX index switched from a low-value state to a high-value state around the events of the Asian financial crisis. Moreover, the U.S. and German markets have stayed in the highvolatility state for the next five years. We also show that there has been a structural change in the stock index volatility vs returns relationship.
Year of publication: |
2003-11
|
---|---|
Authors: | GIOT, Pierre |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | implied volatility | financial crisis | Markov switching model | stock market |
Saved in:
freely available
Saved in favorites
Similar items by subject
-
Regime dependent causality: equity and credit markets
Bhar, Ramaprasad, (2012)
-
Phoong, Seuk-Wai, (2014)
-
Stock market performance of the US hospitality and tourism during the Covid-19 pandemic
Lin, Xiang, (2022)
- More ...
Similar items by person