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

页码：1761 / 1768

页数：8

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