Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
A related but disEnct risk vis--vis VIX, rich Eme- varying dynamics
2/1/11
2/1/12
Time-varying correlaEon
80 60 40 20 0 -20 -40 -60 -80 1996 1998 2000 2002 2004 2006 2008 2010 2012
SRVX Index
100
50
0 2007
2008
2009
2010
2011
2012
0 2013
Correlations Table
VIX Index
Volatility of Volatility
Volatility of the VIX and SRVX
Index volatilities vary greatly over time Marked divergences in index volatilities, especially during height of crisis Different magnitudes of index volatilities
Volatility of the VIX Index, annualized, %
400
100
200
50
0 2007
2008
2009
2010
2011
2012
0 2013
20
10
-10
-20
-30 -4000
-3000
2000
3000
Forecast Regression d(IP) = c + b1 x lag(VRP_Swap) + b2 x lag(VRP_S&P) + b3 x lag(U.Mich) + e Adj. R-Sq = 0.24 {c,b1,b3} = significant at 1% level
Contemporaneous Regression d(REFI) = c + b1 x d (SRVX) + b2 x d(VRP_Swap) + b3 x dlag(REFI) + e Adj. R-Sq = 0.19 {b1,b2} = significant at 1% level