The Nasdaq Volatility Index During and After the Bubble

摘要: The VIX index of implied volatilities for OEX options was introduced in the early 1990s and is widely followed as an investor “fear index.” This article examines VXN, a similar volatility Nasdaq 100 options, over period that includes both inflation Internet “bubble” its bursting. If VXN market’s best estimate future index, it should be unbiased forecast subsequent realized volatility. But if represents index,” will reflect variations investors’ emotions, example rising after sharp market drop to heightened concern increase demand buy put options. It may also influenced by technical indicators direction. Simon finds even correcting effect little-known built-in bias way constructed, averages about 7-1/2 percentage points higher than shows strong asymmetrical response positive negative returns, has been found other studies. A GARCH model fitted returns on actual reveals but much smaller VXN. evidence suggests from stochastic properties itself, they show behavior appears more closely related sentiment.