Kanas, Angelos (2014) Uncovering a positive risk-return relation: The role of implied volatility index. Review of Quantitative Finance and Accounting, 42 (1). pp. 159-170. ISSN 0924-865X. (doi:10.1007/s11156-012-0317-9) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41122)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http://dx.doi.org/10.1007/s11156-012-0317-9 |
Abstract
We report empirical evidence suggesting a strong and positive risk-return relation for the daily S&P 100 market index if the implied volatility index is included as an exogenous variable in the conditional variance equation. This result holds for alternative GARCH specifications and conditional distributions. Monte Carlo evidence suggests that if implied volatility is not included, whilst is should be, the risk-return relation is more likely to be negative or weak. © 2012 Springer Science+Business Media, LLC.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1007/s11156-012-0317-9 |
| Additional information: | Unmapped bibliographic data: AD - Department of Economics, University of Piraeus, 80 Karaoli and Demetriou Str., 18534 Piraeus, Greece [Field not mapped to EPrints] JA - Rev. Quant. Financ. Account. [Field not mapped to EPrints] |
| Uncontrolled keywords: | GARCH-M, Implied volatility index, Risk-return relation, S&P 100 |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Divisions > Kent Business School - Division > Kent Business School (do not use) |
| Depositing User: | Tracey Pemble |
| Date Deposited: | 22 May 2014 10:56 UTC |
| Last Modified: | 17 Aug 2022 10:57 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/41122 (The current URI for this page, for reference purposes) |
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