Allen, David E; McAleer, Michael; Powell, Robert; … - School of Business, Edith Cowan University - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained … relationship between the S&P 500 daily continuously compounded return series and a similar series for the VIX in terms of a long … 2005 to-date. We divide this shorter sample, which captures the behaviour of the new VIX, introduced in 2003, into four …