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http://hdl.handle.net/10419/64823
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| Title: | | Stock returns and implied volatility: A new VAR approach  |
| Authors: | | Lee, Bong Soo Ryu, Doojin |
| Issue Date: | | 2012 |
| Series/Report no.: | | Economics Discussion Papers 2012-51 |
| Abstract: | | 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. |
| Subjects: | | asymmetric volatility vector autoregression VIX VKOSPI |
| JEL: | | G10 G15 |
| Creative Commons License: | |  |
| Document Type: | | Working Paper |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers
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