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Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Working Paper No. 780
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that jumps and a stochastic level of reversion for the variance help reproduce risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the S&P 500 and VIX derivatives prices are consistent in times of market calm but contain conflicting information on the variance during market distress.
Schlagwörter: 
S&P 500 and VIX joint modeling
volatility dynamics
particle filter
variance risk premium
JEL: 
G12
G13
C58
Dokumentart: 
Working Paper

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