On the Dependence Structure Between S&P500, Vix and Implicit Interexpectile Differences

15 Pages Posted: 8 Jan 2019 Last revised: 23 Sep 2019

See all articles by Fabio Bellini

Fabio Bellini

University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi

Lorenzo Mercuri

University of Milan

Edit Rroji

Polytechnic University of Milan - Department of Mathematics; Department of Statistics and Quantitative Methods University of Milano-Bicocca

Date Written: December 26, 2018

Abstract

We study the dependence structure between the S&P500, the VIX Index, and implicit Interexpectile Differences, that are an alternative measure of implied volatility based on the notion of implicit expectile, recently introduced in Bellini et al. (2018). After filtering the time series of the marginals by ARMA-(E)GARCH models, we fit several parametric families of copulas to the pairwise joint distribution of the residuals, in order to investigate the presence of radial asymmetry and asymptotic tail dependence.

Keywords: VIX, Implicit Expectiles Interexpectile Differences, ARMA-GARCH, Copulas

JEL Classification: C00, C02, C53, G31

Suggested Citation

Bellini, Fabio and Mercuri, Lorenzo and Rroji, Edit, On the Dependence Structure Between S&P500, Vix and Implicit Interexpectile Differences (December 26, 2018). Available at SSRN: https://ssrn.com/abstract=3306630 or http://dx.doi.org/10.2139/ssrn.3306630

Fabio Bellini

University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi ( email )

Milano, Milan
Italy

Lorenzo Mercuri

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Edit Rroji (Contact Author)

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

Department of Statistics and Quantitative Methods University of Milano-Bicocca ( email )

Piazza dell’Ateneo Nuovo 1, 20126 Milano
Milano, 20126
Italy

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