Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study
DOI: 10.3390/JRFM11020029
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摘要: This paper studies the contemporaneous relationship between SP (b) negative dependence is stronger in extreme bearish markets than bullish markets; (c) gradually weakens as market return moves toward center of its distribution, or quiet markets. The unique structure supports VIX a barometer markets’ mood general. Moreover, applying proposed method to S&P 500 returns and implied variance (VIX2), we find that nonparametric leverage effect much volatility feedback effect, although, general, both effects are weaker relation log-increments VIX.
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