We study the dependence structure between the S&P500, the VIX Index, and implicit Interexpectile Differences, that are an alternative measure of implied volatility based on the notion of implicit expectile, recently introduced in Bellini et al. [Implicit expectiles and measures of implied volatility. Quant. Finance, 2018a, 18, 1851–1864]. After filtering the time series of the marginals by ARMA-(E)GARCH models, we fit several parametric families of copulas to the pairwise joint distribution of the residuals, in order to investigate the presence of radial asymmetry and asymptotic tail dependence. We find a negative dependence between S&P500 and both implied volatility indices and a positive dependence between VIX and Interexpectile Differences. The best fitting copulas seem relatively stable over time and display both asymmetry and strong tail dependence, in accordance with the leverage effect
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences / F. Bellini, L. Mercuri, E. Rroji. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 20:11(2020), pp. 1839-1848. [10.1080/14697688.2020.1761029]
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
L. Mercuri;
2020
Abstract
We study the dependence structure between the S&P500, the VIX Index, and implicit Interexpectile Differences, that are an alternative measure of implied volatility based on the notion of implicit expectile, recently introduced in Bellini et al. [Implicit expectiles and measures of implied volatility. Quant. Finance, 2018a, 18, 1851–1864]. After filtering the time series of the marginals by ARMA-(E)GARCH models, we fit several parametric families of copulas to the pairwise joint distribution of the residuals, in order to investigate the presence of radial asymmetry and asymptotic tail dependence. We find a negative dependence between S&P500 and both implied volatility indices and a positive dependence between VIX and Interexpectile Differences. The best fitting copulas seem relatively stable over time and display both asymmetry and strong tail dependence, in accordance with the leverage effectFile | Dimensione | Formato | |
---|---|---|---|
SSRN-id3306630 (1).pdf
accesso aperto
Tipologia:
Pre-print (manoscritto inviato all'editore)
Dimensione
1.79 MB
Formato
Adobe PDF
|
1.79 MB | Adobe PDF | Visualizza/Apri |
On the dependence structure between S P500 VIX and implicit Interexpectile Differences.pdf
accesso riservato
Tipologia:
Publisher's version/PDF
Dimensione
1.52 MB
Formato
Adobe PDF
|
1.52 MB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.