Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64823
Authors: 
Lee, Bong Soo
Ryu, Doojin
Year of Publication: 
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

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