On the Dependence Structure Between S&P500, Vix and Implicit Interexpectile Differences
15 Pages Posted: 8 Jan 2019 Last revised: 23 Sep 2019
Date Written: December 26, 2018
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
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