The relationship between news-based implied volatility and volatility of US stock market: What can we learn from multiscale perspective?

Bin Mo, Jinqi Mu and Bilin Zhang

Physica A: Statistical Mechanics and its Applications, 2019, vol. 526, issue C

Abstract: This paper aims to employ the wavelet-based copula approach to empirically study the relationship between news-based implied volatility and the volatility of the US stock market using monthly data for the period January 1980 to March 2016. We find that the dependence structure is determined to be time-horizon dependent, in the short term, the correlation is very weak but quite strong in the long term. Furthermore, the asymmetric tail dependence structure can better explain the time-varying relationship in the long run shown by the time-varying SJC copula.

Keywords: News-based implied volatility; Volatility of US stock market; Wavelet; Copula (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119306120

DOI: 10.1016/j.physa.2019.04.239

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