model directly the VIX index, in a mean-reverting local volatility-of-volatility model, which will provide a global fit to … the VIX market. We then show how to construct the local volatility-of-volatility surface by adapting the ideas in Carr …Following a trend of sustained and accelerated growth, the VIX futures and options market has become a closely followed …

, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied … volatility correlates strongly with the volatility skew in S&P 500 options; (ii) VIX ATM implied volatility declines … observations lead to simple heuristics for quoting prices (in terms of implied volatility) of VIX options with almost arbitrary …

We suggest that the term structure of VIX futures shows a clear pattern of dependence on the current level of VIX index …. At the low levels of VIX (below 20), the term structure is highly upward sloping, while at the high VIX levels (over 30 …) it is strongly downward sloping. We use these features to predict future VIX futures prices more precisely. We begin by …

This paper investigates the changes in the investment portfolio performance after including VIX. We apply different … results’ robustness. Investment strategies including VIX futures do not always deliver higher returns or higher Sharpe ratios … for the period 2006-2013. Their performance is quite sensitive to changes in model parameters. However, including VIX …

In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index … (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The … effect of VIX on stock liquidity is greater than the combined effects of all other common determinants of stock liquidity. We …

, measured by India VIX on the price volatility of the five base metals. The findings of the study suggest that there is presence … 2013. To assess the impact of the recent Global Financial Crisis on trading of base metals, the price volatility of the … base metals has been examined using GARCH models. The paper also studies the effect of implied volatility of equity market …

Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX). Design/methodology/approach – A primary …Purpose – The purpose of this paper is to propose a new method for estimating continuous-time stochastic volatility (SV …

This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns … in Brazil, Russia, India, and China (BRIC), and between VIX and U.S. stock market returns, to uncover if VIX serves as an … investor fear gauge in BRIC and U.S. markets. We conduct the VIX-returns analysis for the 1993–2007 period. …

intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …