Advanced Search
MyIDEAS: Login

Identifying Regime Changes In Market Volatility

Contents:

Author Info

  • Weiyu Guo
  • Mark E. Wohar

Abstract

A casual inspection of a graph of volatility indexes over time indicates that volatility has undergone infrequent, but significant, shifts in its average level. The purpose of this article is to test for multiple structural breaks in the mean level of market volatility measured by the VIX and VXO, and to identify statistically the dates of these mean shifts. We find evidence of three distinct periods: pre-1992, 1992-1997, and post-1997. We find that the mean volatility, as well as its standard deviation, was lowest during 1992-1997. Our findings provide statistical evidence consistent with popular beliefs that market volatility changes over time. 2006 The Southern Finance Association and the Southwestern Finance Association.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1475-6803.2006.00167.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 29 (2006)
Issue (Month): 1 ()
Pages: 79-93

as in new window
Handle: RePEc:bla:jfnres:v:29:y:2006:i:1:p:79-93

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
More information through EDIRC

Email:
Web page: http://www.southwesternfinance.org/
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0270-2592

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
  2. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(5), pages 1-81.
  3. N. Baba & Y. Sakurai, 2011. "Predicting regime switches in the VIX index with macroeconomic variables," Applied Economics Letters, Taylor & Francis Journals, vol. 18(15), pages 1415-1419.
  4. Michael G Papaioannou & Joonkyu Park & Jukka Pihlman & Han van der Hoorn, 2013. "Procyclical Behavior of Institutional Investors During the Recent Financial Crisis," IMF Working Papers 13/193, International Monetary Fund.
  5. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:29:y:2006:i:1:p:79-93. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.