FINANCE RESEARCH LETTERS, vol.11, no.4, pp.454-462, 2014 (SSCI)
Article / Article
FINANCE RESEARCH LETTERS
Social Sciences Citation Index (SSCI), Scopus
Volatility skews, Slope, S&P 500 index options, VIX, Macroeconomic announcements, REAL-TIME, STOCK, MARKET, INDEX, RISK
TED University Affiliated:
This paper examines the impact of macroeconomic announcements on the high-frequency behavior of the observed implied volatility skew of S&P 500 index options and VIX. We document that macroeconomic announcements affect VIX significantly and slope at a lesser extent. We also find evidence that good and bad announcements significantly and asymmetrically change implied volatility slope and VIX. (C) 2014 Elsevier Inc. All rights reserved.