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The influence of shock signals on the change in volatility term structure. (English) Zbl 1420.91482

Summary: In this study, we analyze market shock signals based on the S&P 500 index and find out the principal factors affecting the change in volatility term structure, using a principal component analysis. The volatility term structure consists of the volatility index having different maturities. Our empirical results show that two principal factors cause changes in the whole volatility term structure, and some principal factors affect medium- and long-term volatilities individually.

MSC:

91G30 Interest rates, asset pricing, etc. (stochastic models)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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