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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Stylized facts of the VIX market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 44 |
| Date | 2017 |
| Abstract Text | This bachelor thesis examines the VIX index, the most followed gauge of expected market volatility, and its stylised facts. The VIX measures the expected volatility in the American stock market by extracting the implied volatility of S&P 500 index options. In a first step, the emergence of volatility as an own asset class will be evaluated and an overview of today’s established products will be provided. Also known as the "fear index", the VIX is based on a sophisticated calculation methodology and has interesting quantitative facts, which will be studied. In conclusion, the stylised facts of volatility-based products will be analysed with an examination of historical data. |
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