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16-010/III - Connecting VIX and Stock Index ETF

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Tai-Lin Hsieh, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain.
  • Publication date
    February 15, 2016
  • Keywords
    Stock market indexes, Exchange Traded Funds, Volatility Index (VIX), Vector autoregressions, moving average processes, conditional heteroskedasticity, diagonal BEKK
  • JEL
    C32, C58, G12, G15