NDLI: Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Content Provider	Semantic Scholar
Author	Bardgett, Chris Gourier, Elise Leippold, Markus
Copyright Year	2019
Abstract	This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that jumps and a stochastic level of reversion for the variance help reproduce risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the S&P 500 and VIX derivatives prices are consistent in times of market calm but contain conflicting information on the variance during market distress.
Starting Page	593
Ending Page	618
Page Count	26
File Format	PDF HTM / HTML
DOI	10.1016/j.jfineco.2018.09.008
Volume Number	131
Alternate Webpage(s)	https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2016/items/wp780.pdf
Alternate Webpage(s)	http://econ.au.dk/fileadmin/Economics_Business/Research/Seminars/Finance_Accounting_Seminars/2013/Bardgett_-_Inferring_Volatility_Dynamics_and_Risk_Premia_from_SP500_and_VIX_Markets.pdf
Alternate Webpage(s)	http://www.nccr-finrisk.uzh.ch/media/pdf/wp/WP870_A3_C1.pdf
Alternate Webpage(s)	http://jfe.rochester.edu/Bardgett_Gourier_Leippold_app.pdf
Alternate Webpage(s)	http://www.elisegourier.com/uploads/3/7/9/6/37964671/bardgett_gourier_leippold_vix_paper.pdf
Alternate Webpage(s)	http://www.elisegourier.com/uploads/3/7/9/6/37964671/vix_paper_-_dec2016.pdf
Alternate Webpage(s)	https://doi.org/10.1016/j.jfineco.2018.09.008
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302

See location in the Map
03222 282435
Mail: support@ndl.gov.in

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

to the source. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options (2004)

The jump component of S&P 500 volatility and the VIX index

– Finance UCLA Title: Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options Author: (2004)

The risk-return relation and VIX: evidence from the S&P 500

UCLA Recent Work Title Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S & amp ; P 500 Options Permalink

1 pricing vix futures on affine stochastic volatility models with simultaneous state-dependent jumps both in the s&p 500 price and variance processes: evidence from integrated physical and risk-neutral probability measures (2006).

The information contents of vix index and range-based volatility on volatility forecasting performance of s&p 500

A regime-switching heston model for vix and s&p 500 implied volatilities (2012).

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Similar Documents

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

to the source. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options (2004)

The jump component of S&P 500 volatility and the VIX index

– Finance UCLA Title: Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options Author: (2004)

The risk-return relation and VIX: evidence from the S&P 500

UCLA Recent Work Title Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S & amp ; P 500 Options Permalink

1 pricing vix futures on affine stochastic volatility models with simultaneous state-dependent jumps both in the s&p 500 price and variance processes: evidence from integrated physical and risk-neutral probability measures (2006).

The information contents of vix index and range-based volatility on volatility forecasting performance of s&p 500

A regime-switching heston model for vix and s&p 500 implied volatilities (2012).

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets