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Defining extreme volatility events at the S&P 500 Index

Author

Listed:
  • Suarez, Ronny

Abstract

In this paper we estimated not-overlapped monthly historic standard deviations of the S&P 500 Index returns for the period 1950 – 2009, then using extreme value theory we defined extreme volatility events and introduced an alternative “fear scale” that is compared with the “fear index”.

Suggested Citation

  • Suarez, Ronny, 2010. "Defining extreme volatility events at the S&P 500 Index," MPRA Paper 21053, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:21053
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    File URL: https://mpra.ub.uni-muenchen.de/21053/1/MPRA_paper_21053.pdf
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    More about this item

    Keywords

    Extreme Value Theory; Peak Over Threshold; Generalized Pareto Distribution; Return Level; Extreme Volality Event;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • G0 - Financial Economics - - General

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