The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is considered by many market participants as a common measure of market risk and investors' sentiment, representing the market's expectation of the 30-day-ahead looking implied volatility obtained from real-time prices of options...

The Chicago Board Options Exchange (CBOE) Volatility Index, often referred to as VIX Volatility Index (VIX), is considered by many market participants as a common measure of market risk and investors' sentiment. It is also sometimes called the fear index. In general, the VIX represents the...

In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its...