BestMasters: Critical Analysis of Financial Market Volatility and Its Predictability

Auinger, Florian

Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.

Details

Published by: Springer Gabler

Publication Date: 2015-02-26

Format: Paperback

ISBN-13: 9783658089689

DOI: 10.1007/978-3-658-08969-6

Dimensions: 210cm x148cm

Pages: 91