The Fear of Fear in the US Stock Market: Changing Characteristics of the VVIX
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
Abstract
By analyzing the characteristics of Cboe's volatility-of-volatility (vol-of-vol) index (VVIX), this study reveals that most but not all stylized facts of volatility are also applicable to the vol-of-vol. The VVIX exhibits robust mean reversion, distinct jumps in both directions, an asymmetric relationship with the S&P500 index, weak day-of-the-week effect, and fast incorporation of new market information. Surprisingly, results indicate a significant upward trend in its level that stems partly from a higher variation of the VIX and a higher vol-of-vol risk premium. An increased and robust correlation with the VIX matches the evolution of the VIX options market till 2013.
Details
Original language | English |
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Article number | 103926 |
Journal | Finance Research Letters |
Volume | 55 |
Publication status | Published - Jul 2023 |
Peer-reviewed | Yes |
External IDs
unpaywall | 10.1016/j.frl.2023.103926 |
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Mendeley | 7d473f32-3a06-357c-a3a7-246cde5623db |
Scopus | 85158144250 |
WOS | 001019753100001 |
Keywords
Research priority areas of TU Dresden
DFG Classification of Subject Areas according to Review Boards
Subject groups, research areas, subject areas according to Destatis
ASJC Scopus subject areas
Keywords
- Implied volatility, Stylized facts, VIX, VVIX, Volatility-of-volatility, Vix, Vvix