The jump-diffusion process for the VIX and the S&P 500 index

被引：0
|
作者：
Lin, Chi-Tai [2 ]
Lee, Yen-Hsien [1 ]
机构：
[1] Chung Yuan Christian Univ, Dept Finance, Chungli 320, Taiwan
[2] Tamkang Univ, Dept Banking & Finance, Danshuei Township 251, Taipei County, Taiwan
来源：
AFRICAN JOURNAL OF BUSINESS MANAGEMENT | 2010年 / 4卷 / 09期
关键词：
VIX; CBP-GARCH model; jump-diffusion process; IMPLIED VOLATILITY INDEXES; RETURN TRADE-OFF; STOCK RETURNS; DYNAMICS; OPTIONS; MODELS; FEAR;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper applies the CBP-GARCH model of Chan (2003) to analyze the discontinuous jump and the time-varying correlated jump intensity for the changes in the VIX and the S&P 500 returns over the period extending from January 15, 2001 to December 31, 2009. The empirical results provide evidence of the significant jump-diffusion process and the causal relationships in the bi-directions between the S&P 500 returns and the changes in the VIX. In addition, the relationships between the S&P 500 returns and the changes in the VIX exhibit joint jump behavior are not time varying.
引用
收藏
页码：1761 / 1768
页数：8
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