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Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies

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  • Chittineni, Jyothi

Abstract

This paper investigates the international financial market integration as a trigger for regime switching behavior of Indian implied volatility index and its regime-dependent conditional correlations with the selected developed markets. The 2-state dynamic regression model reveals two different regimes using state-dependent variables during the time period 2009 to 2016. The results found that Hong Kong and US markets have a significant effect on the Indian market during highly volatile state, and there is a clear decoupling effect among these markets when the Indian market is stable. The predicted turning point probabilities indicate that the bull market state is persistent.

Suggested Citation

  • Chittineni, Jyothi, 2017. "Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(5), December.
    • Handle: RePEc:ags:pdcbeh:285116
    DOI: 10.22004/ag.econ.285116
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    Cited by:

    1. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.

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    Keywords

    Financial Economics;

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