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Title:Stock returns and implied volatility: A new VAR approach PDF Logo
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:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Working Paper
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers

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