IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY
IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY
复制标题
识别市场波动的机制变化
DOI：
10.1111/j.1475-6803.2006.00167.x
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发表时间：
2006
影响因子：
3.5
通讯作者：
M. Wohar
中科院分区：
文献类型：
--
作者：
Weiyu Guo;M. Wohar
对波动率指数随时间变化的图表的随意检查表明，波动率的平均水平发生了罕见但显着的变化。本文的目的是测试 VIX 和 VXO 衡量的市场波动平均水平是否存在多个结构性突破，并从统计上确定这些均值变化的日期。我们发现了三个不同时期的证据：1992 年之前、1992-1997 年和 1997 年之后。我们发现平均波动率及其标准差在 1992 年至 1997 年期间最低。我们的研究结果提供了与市场波动随时间变化的流行观点相一致的统计证据。 2006年南方金融协会和西南金融协会。
A casual inspection of a graph of volatility indexes over time indicates that volatility has undergone infrequent, but significant, shifts in its average level. The purpose of this article is to test for multiple structural breaks in the mean level of market volatility measured by the VIX and VXO, and to identify statistically the dates of these mean shifts. We find evidence of three distinct periods: pre-1992, 1992-1997, and post-1997. We find that the mean volatility, as well as its standard deviation, was lowest during 1992-1997. Our findings provide statistical evidence consistent with popular beliefs that market volatility changes over time. 2006 The Southern Finance Association and the Southwestern Finance Association.