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

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