The COVID-19 Global Fear Index, Realized Volatility and Jump
16 Pages Posted: 29 Jul 2021
Date Written: July 22, 2021
This paper subjects the global fear index (GFI) for the COVID-19 pandemic to an empirical investigation to determine its relationship with realized volatility, continuous volatility, and jump volatility for seven international indices. The results show evidence of a positive relationship between the measures of realized volatilities and the global fear index, which is persistent in periods of high volatility, and a negative relationship in periods of low volatility. It is observed that when serial dependence, systemic risk and alternative measure of volatility are considered the significance of the COVID-19 global fear index and volatility relationship decreases significantly.
Keywords: Realized volatility; continuous volatility; jumps; global fear index; VIX index
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation