VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty

Ehud I. Ronn

Chapter 5 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes, 2024, pp 191-197 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Financial markets serve numerous roles, amongst them of course is the uncoerced exchange of securities. In addition to that role, they serve a very useful function of conveying to market observers information about the future, the challenge being our ability to elicit and interpret that information.This paper addresses that the latter function regarding the option markets which provide the value for the VIX 30-day implied volatility on the S&P 500 Market Index. It demonstrated that the peak value of VIX during Persian Gulf I, 1990/1991, and Persian Gulf II, 2003, was nearly identical.

Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
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