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CONSTRUCTION AND PROPERTIES OF VOLATILITY INDEX FOR WARSAW STOCK EXCHANGE

100%
Wiśniewski T.
Metody Ilościowe w Badaniach Ekonomicznych
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2014
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vol. 15
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issue 1
218-223
EN
Volatility indices became a important factors on capital markets and are considered as fear factors. First volatility index VIX, was defined for Chicago Board of Trade in 1993, and was developed in 2003. In next years we observed growing numbers of volatility indices on main capital market around of the world. There were more than 20 volatility indices on capital markets at the end of 2012. The aim of this study is construction of the volatility index considering to Warsaw Stock Exchange trading rules and market participants. We also test the “fear factor” properties of this index.
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Fear Anatomy – an Attempt to Assess the Impact of Selected Macroeconomic Variables on the Variability of the VIX S&P 500 Index

89%
Markowski Ł., Keller J.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
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2020
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vol. 54
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issue 2
EN
This article deals with the subject of volatility of financial markets in relation to the US stock market and its volatility index, i.e. the VIX index. The authors analyzed previous studies on the VIX index and based on them, defined a research gap that relates to the problem of market response to emerging macroeconomic information about the US economy. The vast majority of research on the VIX index relates to its forecasting based on mathematical models not taking into account current market data. The authors attempted to assess the impact of emerging macro data on the variability of the VIX index, thus illustrating the magnitude of the impact of individual variables on the so-called US Stock Exchange fear index. The study analysed 80 macroeconomic variables in the period from January 2009 to June 2019 in order to check which of them cause the greatest market volatility. The study was based on correlation study and econometric modeling. The obtained results allowed to formulate conclusions indicating the most important macroeconomic parameters that affect the perception of the market by investors through the pricing of options valuation on the S&P 500 index. The authors managed to filter the most important variables for predicting the change of VIX level. In the eyes of the authors, the added value of the article is to indicate the relationship between macro variables and market volatility illustrated by the VIX index, which has not been explored in previous studies. The analyzes carried out are part of the research trend on market information efficiency and broaden knowledge in the area of capital investments.
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Extended residual coherence with a financial application

88%
Zhang X., Kedem B.
Statistics in Transition new series
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2021
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vol. 22
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issue 2
1-14
EN
Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of multiple time series. Moreover, an alternative criterion, integrated spectrum, is proposed to facilitate this graphical selection. A financial market application shows that new insights can be gained regarding implied market volatility.
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