کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1120885 | 1488502 | 2012 | 5 صفحه PDF | دانلود رایگان |
This article adopt bivariate GARCH model with TAR to investigate the extent of volatility as well as return transmission between S&P 500 (NASDAQ 100) and VIX (VXN) since their introduction of VIX and VXN. Results show that the performance of VIX index is the best among the four indices during the whole sample period. But the volatility of VIX is also higher than other index. Further, only lagged negative return (change) has a bidirectional casual effect in the low-fear regime for the SP500/VIX series. The results also indicate that VIX index market has a stronger pricing effect on SP500. However, there is no obvious lead-lag relationship between NASDAQ100 and VXN index. Moreover, the return and volatility responses to high-fear and low-fear gauge are asymmetrical.
Journal: Procedia - Social and Behavioral Sciences - Volume 57, 9 October 2012, Pages 231-235