Download This PaperThe Impact of Macroeconomic Announcements on Implied Volatility
27 Pages Posted: 3 Nov 2010 Last revised: 22 Mar 2016
Date Written: May 4, 2011
Abstract
While many studies analyze the impact of scheduled macroeconomic announcements on equity market volatility, few focus on the impact on option implied volatilities. In this study, we examine the link between German and U.S. macroeconomic events and the implied volatility indices VDAX and VIX. We find that both indices fall on announcement days, with the strongest reactions occurring during the financial crisis from 2008 to 2009. Further, we identify a volatility spillover effect and significant covariance clustering between VDAX and VIX.
Keywords: Implied volatility, VIX and VDAX indices, bivariate VECH GARCH model, macroeconomic announcements
JEL Classification: G10, G11, G14, G15
Suggested Citation: Suggested Citation
Roland Füss
Swiss Finance Institute ( email )
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
University of St. Gallen - School of Finance ( email )
Unterer Graben 21
St.Gallen, CH-9000
Switzerland
+41 (0)71 224 70 42 (Phone)
+41 (0)71 224 70 88 (Fax)
HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx
Ferdinand Mager (Contact Author)
EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting ( email )
Endowed Chair of Banking & Finance
Gustav-Stresemann-Ring 3
Wiesbaden, 65189
Germany
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