Oil Products and the Volatility Index: Bivariate Volatility Relationships Within a T-GARCH Model
I provide, in this paper, evidence on the contribution of crude oil excess volatility to the volatility index. Crude oil leads the volatility index by 16 basis points (BP) 6 months ahead of time. This leadership is reversal and covers the period from January 21, 2000 to the end of 2011. The lagged a...
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| Format: | conferenceObject |
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2017
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| Online Access: | http://hdl.handle.net/10725/5964 http://dx.doi.org/10.2139/ssrn.2065321 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2065321 |
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