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Defining extreme volatility events at the S&P 500 Index

Ronny Suarez

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we estimated not-overlapped monthly historic standard deviations of the S&P 500 Index returns for the period 1950 – 2009, then using extreme value theory we defined extreme volatility events and introduced an alternative “fear scale” that is compared with the “fear index”.

Keywords: Extreme Value Theory; Peak Over Threshold; Generalized Pareto Distribution; Return Level; Extreme Volality Event (search for similar items in EconPapers)
JEL-codes: C0 G0 (search for similar items in EconPapers)
Date: 2010-03
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Handle: RePEc:pra:mprapa:21053