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- W4366992488 abstract "By analyzing the characteristics of Cboe’s volatility-of-volatility (vol-of-vol) index (VVIX), this study reveals that most but not all stylized facts of volatility are also applicable to the vol-of-vol. The VVIX exhibits robust mean reversion, distinct jumps in both directions, an asymmetric relationship with the S&P500 index, weak day-of-the-week effect, and fast incorporation of new market information. Surprisingly, results indicate a significant upward trend in its level that stems partly from a higher variation of the VIX and a higher vol-of-vol risk premium. An increased and robust correlation with the VIX matches the evolution of the VIX options market till 2013." @default.
- W4366992488 created "2023-04-27" @default.
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- W4366992488 date "2023-07-01" @default.
- W4366992488 modified "2023-09-27" @default.
- W4366992488 title "The fear of fear in the US stock market: Changing characteristics of the VVIX" @default.
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- W4366992488 doi "https://doi.org/10.1016/j.frl.2023.103926" @default.
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