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The influence of shock signals on the change in volatility term structure
- Authors
- Choi, Sun-Yong
- Issue Date
- Oct-2019
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Volatility term structure; Volatility index; Principal component analysis; Market shock; S& P 500 index
- Citation
- ECONOMICS LETTERS, v.183
- Journal Title
- ECONOMICS LETTERS
- Volume
- 183
- ISSN
- 0165-1765
- Abstract
- In this study, we analyze market shock signals based on the S&P 500 index and find out the principal factors affecting the change in volatility term structure, using a principal component analysis. The volatility term structure consists of the volatility index having different maturities. Our empirical results show that two principal factors cause changes in the whole volatility term structure, and some principal factors affect medium- and long-term volatilities individually. (C) 2019 Elsevier B.V. All rights reserved.
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Related Researcher
- Choi, Sun Yong
- Business Administration (금융·빅데이터학부)