Stock returns and implied volatility: A new VAR approach

Bong Soo Lee and Doojin Ryu

No 2012-51, Economics Discussion Papers from Kiel Institute for the World Economy

Abstract: This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published implied volatility index, shows impulse response dynamics that are clearly distinct from those for the VIX, an implied volatility index for the developed market.

Keywords: asymmetric volatility; vector autoregression; VIX; VKOSPI (search for similar items in EconPapers)
JEL-codes: G10 G15 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ets and nep-fmk
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https://www.econstor.eu/bitstream/10419/64823/1/727375512.pdf (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:201251

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