An OWA Analysis of the VSTOXX Volatility Index

Luca Gambarelli (), Silvia Muzzioli and Bernard De Baets ()
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Luca Gambarelli: Marco Biagi Department of Economics, University of Modena and Reggio Emilia, Viale Berengario 51, Modena 41121, Italy
Silvia Muzzioli: Marco Biagi Department of Economics, University of Modena and Reggio Emilia, Viale Berengario 51, Modena 41121, Italy
Bernard De Baets: KERMIT, Department of Data Analysis and Mathematical Modelling, Ghent University, Coupure Links 653, Ghent B-9000, Belgium

International Journal of Information Technology & Decision Making (IJITDM), 2025, vol. 24, issue 04, 963-995

Abstract: In this paper, we analyze the information value of the VSTOXX (volatility) index as a measure of risk for the European stock market. Based upon daily data from 2007 to 2023, the properties of the VSTOXX index are inspected and contrasted under various market conditions and in high- and low-volatility periods. Moreover, to evaluate the contribution of each country-specific index to the VSTOXX index, we employ the Ordered Weighted Averaging (OWA) operator as an analysis tool. We obtain a number of useful insights. Only for France and Germany the correlation between the country-specific volatility index and the VSTOXX index is high during the entire period. In addition, the VSTOXX index acts more like a maximum than as a minimum of volatility for the European stock markets and acts as an average only during periods of extreme volatility. Our findings offer important implications for both investors and policymakers.

Keywords: Volatility indices; OWA operator; VSTOXX; European market (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S0219622025500099

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