tool is needed. Developed by Peter Martin in 1987, the Ulcer Index measures the human stress of holding a stock. Ulcer … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …. The more continuous and prolonged the drawdown, the higher the index and the more likely investing in it will cause ulcers …

During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day … investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a … Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All …

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago … Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an …

In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major … linear causality in the VIX index and its derivatives during January and February 2018. Due to the shortcomings of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial …

hedging strategies. The inverse relation between Nifty index and India VIX occurs due to options trading; during the market … weakness when investors are concerned about the moves of Nifty index they seek protection during the market panic. The great … into high implied volatility of the Nifty index options. The empirical result evidences that there is an asymmetric …