Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 40 for “"VIX"”.
-
Forecasting and modelling the VIX using Neural Networks
… in predicting the CBOE Volatility Index (VIX). The inputs into these models includes the VIX, GARCH(1,1) fitted values and various financial and macroeconomic explanatory variables, such as the S&P 500 returns and oil price. In addition, this study segments data into two sub-periods, …
-
Parsimonious Mixed Bergomi Models for VIX Derivatives: Calibration and Estimation via Quantization
VIX futures and options are among the world’s most liquid derivatives. Mixed Bergomi models are known to fit VIX futures and options well; however, they are not fast enough for calibration over extended time scales. In addition, the models are over-parameterised and lack dynamic estimation …
-
Cross-Sectional Volatility Index Analysis In Asian Markets With No Derivatives Market.
… indices in the derivatives market. The VIX has been very popular in the US market. Since its introduction in 1993, the VIX is a barometer of investor sentiment and market volatility. However, the VIX is mostly applied to markets that have derivative options price, and it turns out that …
-
Three essays on investments and time series econometrics
… I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized …
-
Empirical essays on option-implied information and asset pricing
… market conditions, this study focuses on how VIX spot, VIX futures, and their basis perform different roles in asset pricing. Secondly, this essay decomposes the VIX index into two parts: volatility calculated from out-of-the-money call options and volatility calculated from out-of-the-money …
-
Do prices drive commercial trader positions in grains and oilseeds markets?
… Board Options Exchange (CBOE) Volatility Index-VIX in determining commercial hedging decisions; (iii) provide evidence that the Disaggregated Commitment of Traders Reports (DCOT) data can be used as a benchmark for examining hedging behavior. Second, we develop a Structural Vector …
-
Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… to better forecast the daily market volatility (VIX) index. We propose utilizing the ordinary least square post–least absolute shrinkage and selection operator (OLS post–Lasso) from Belloni and Chernozhukov (2013) to select the predictors and estimate the coefficients for a heterogeneous …
-
Volatility spillover between Exchange-Traded Funds on the Johannesburg Stock Exchange
… Chicago Board Options Exchange Volatility Index (VIX) index is used to proxy foreign volatility shocks to South African financial assets. Approximately 12,5% of volatility for the full set of ETFs can be attributed to the VIX. Additionally, a regression analysis is employed to evaluate the VIX as …
-
Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
… information about future volatility as the VIX Index. It also outperforms single-regime GARCH and EGARCH models. Moreover, the model’s 1-day ahead regime predictions are economically significant: market volatility and kurtosis, equity risk premia, and stock-bond relations shift when the …
-
The South African Volatility Index (SAVI) as a tool for market timing on the Johannesburg Stock Exchange (JSE)
… technical trading rules developed for the CBOE VIX, as used in the United States market, can be applied to the South African market using the SAVI as a market timing tool in order to outperform a passive buy-and-hold strategy. This involved switching the portfolio between the Top 40 equity index …
-
On Volatility, Outliers, and Uncertainty
… in relationship between the SP 500 and the VIX across different market regimes. Three distinct market regimes are identified through a Markov Process, allowing for the capture of non-constant behavior in the relationship between contemporaneous price changes and future volatility …
Page 1 of 2