Fernandes, Marcelo; Medeiros, Marcelo Cunha; Scharth, … - Departamento de Economia, Pontifícia Universidade … - 2007
This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...