The influence of shock signals on the change in volatility term structure

Sun-Yong Choi

Economics Letters, 2019, vol. 183, issue C, -

Abstract: In this study, we analyze market shock signals based on the S&P 500 index and find out the principal factors affecting the change in volatility term structure, using a principal component analysis. The volatility term structure consists of the volatility index having different maturities. Our empirical results show that two principal factors cause changes in the whole volatility term structure, and some principal factors affect medium- and long-term volatilities individually.

Keywords: Volatility term structure; Volatility index; Principal component analysis; Market shock; S&P 500 index (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:183:y:2019:i:c:29

DOI: 10.1016/j.econlet.2019.108593

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