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Model-free volatility indexes in the financial literature: A review

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  • Gonzalez-Perez, Maria T.

Abstract

This article describes the primary uses of the VIX index in the financial literature, offering for the first time a joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the investor “fear” gauge due to its significant and negative relationship with S&P 500 return dynamics, which justifies its use as a proxy for market risk and volatility. This article focuses on the most frequent uses of VIX, namely, as (1)a financial product to hedge a portfolio against volatility risk; (2)a market risk measure used to analyze risk flows from financial markets and to relate private and public risks; and (3)a volatility measure to estimate the spot volatility dynamics, the volatility risk premium and volatility jumps. This survey offers an entre for researchers who consider VIX as a proxy for volatility and/or risk.

Suggested Citation

  • Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  • Handle: RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159
    DOI: 10.1016/j.iref.2015.02.018
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    More about this item

    Keywords

    Volatility indices; Leverage effect; Forecast volatility; Variance risk premium; Volatility derivatives;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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