Arbeitspapier
Stock returns and implied volatility: A new VAR approach
This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published implied volatility index, shows impulse response dynamics that are clearly distinct from those for the VIX, an implied volatility index for the developed market.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Discussion Papers ; No. 2012-51
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
- Subject
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asymmetric volatility
vector autoregression
VIX
VKOSPI
- Event
-
Geistige Schöpfung
- (who)
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Lee, Bong Soo
Ryu, Doojin
- Event
-
Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lee, Bong Soo
- Ryu, Doojin
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2012
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