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
相关论文
共 50 条
  • [31] S&P 500 Index revisions and credit spreads
    Baran, Lindsay
    Li, Ying
    Liu, Chang
    Liu, Zilong
    Pu, Xiaoling
    REVIEW OF FINANCIAL ECONOMICS, 2018, 36 (04) : 348 - 363
  • [32] Negative returns on addition to the S&P 500 index and positive returns on deletion? New evidence on the attractiveness of S&P 500 versus S&P 400 indexes
    Vijh, Anand M.
    Wang, Jiawei
    FINANCIAL MANAGEMENT, 2022, 51 (04) : 1127 - 1164
  • [33] Rejoinder to a remark on Lin and Chang's paper 'Consistent modeling of S&P 500 and VIX derivatives'
    Lin, Yueh-Neng
    Chang, Chien-Hung
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2012, 36 (05): : 716 - 718
  • [34] A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
    Allen, David E.
    McAleer, Michael
    Powell, Robert
    Singh, Abhay K.
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2013, 6 (01) : 6 - 30
  • [35] Joint calibration of S&P 500 and VIX options under local stochastic volatility models
    Zhou, Zhiqiang
    Xu, Wei
    Rubtsov, Alexey
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2024, 29 (01) : 273 - 310
  • [36] Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
    Nystrup P.
    Hansen B.W.
    Madsen H.
    Lindström E.
    Journal of Asset Management, 2016, 17 (5) : 361 - 374
  • [37] Baldrige Index out-performs S&P 500
    不详
    DIE CASTING ENGINEER, 1998, 42 (05): : 97 - 98
  • [38] The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models
    Roszyk, Natalia
    S´lepaczuk, Robert
    arXiv,
  • [39] Price discovery in the S&P 500 index derivatives markets
    Chen, Wei-Peng
    Chung, Huimin
    Lien, Donald
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2016, 45 : 438 - 452
  • [40] Pricing S&P 500 index options with Heston's model
    Zhang, JE
    Shu, JH
    2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS, 2003, : 85 - 92
12345