NISHINA, Kazuhiko; MAGHREBI, Tatsuro Nabil; KIM, Moo-Sung - Graduate School of Economics, Osaka University - 2006
construction to the new VIX based on the S&P 500 index. It also examines the stochastic dynamics of the implied volatility index … alternative GARCH models, which account for volatility persistence and the asymmetric impact of news. The implied volatility index …