ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES



Figures

Figure 1. The behavior of stock prices benchmarks and implied volatility indices
(Stock price indices rebased to 100 as of January 2, 1990)

.8


Stock price index


- .6

500-

400-

300-

- .4

- .2

Implied volatility index

-.0

Nikkei 225
Price index

90 91 92 93 94 95 96 97 98 99 00 01 02 03 04


S&P 500

Implied volatility


200- S&P 500

Price index

100-


26




More intriguing information

1. The name is absent
2. The purpose of this paper is to report on the 2008 inaugural Equal Opportunities Conference held at the University of East Anglia, Norwich
3. Naïve Bayes vs. Decision Trees vs. Neural Networks in the Classification of Training Web Pages
4. Impacts of Tourism and Fiscal Expenditure on Remote Islands in Japan: A Panel Data Analysis
5. The name is absent
6. Inhimillinen pääoma ja palkat Suomessa: Paluu perusmalliin
7. The name is absent
8. STIMULATING COOPERATION AMONG FARMERS IN A POST-SOCIALIST ECONOMY: LESSONS FROM A PUBLIC-PRIVATE MARKETING PARTNERSHIP IN POLAND
9. The name is absent
10. The technological mediation of mathematics and its learning