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The influence of shock signals on the change in volatility term structure

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  • Choi, Sun-Yong

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.

Suggested Citation

  • Choi, Sun-Yong, 2019. "The influence of shock signals on the change in volatility term structure," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
    • Handle: RePEc:eee:ecolet:v:183:y:2019:i:c:29
    DOI: 10.1016/j.econlet.2019.108593
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    Cited by:

    1. Sun-Yong Choi & Changsoo Hong, 2020. "Relationship between uncertainty in the oil and stock markets before and after the shale gas revolution: Evidence from the OVX, VIX, and VKOSPI volatility indices," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-26, May.

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    More about this item

    Keywords

    Volatility term structure; Volatility index; Principal component analysis; Market shock; S&P 500 index;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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