volatility clusters in India's implied volatility index (Nifty VIX) daily closing levels for the Nifty VIX were gathered covering …'s Nifty implied volatility index appeared linked to important global financial events external to India during the study …

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …

This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a … correction model and Granger causality analysis are applied. The results suggest that VIX futures lead spot VIX index, which …

The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract … and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries …

We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created …

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … crises. The U.S. ‘fear’ index has a short-lived, limited effect on CSAD/herding (during COVID only) for all countries except … China. In addition, Granger causality analysis indicates a two-way relationship between the U.S. ‘fear’ index and CSAD …

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index … normality and the existence of persistence in the evolution of the VIX index. Since the time evolution of the VIX index seems to … one, the variance of the index is a function of the volatility regime, whereas the second version includes ARCH and GARCH …