- Titel
- The daily rise and fall of the VIX1D
- Untertitel
- causes and solutions of its overnight bia
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:bsz:14-qucosa2-989803
- Quellenangabe
- Finance research letters
Erscheinungsjahr: 2024
Jahrgang: 62
E-ISSN: 1544-6123
Artikelnummer: 105186 - Erstveröffentlichung
- 2024
- Abstract (EN)
- This paper explores the unique intraday dynamics of the VIX1D. We identify a distinct overnight bias, that causes the index to consistently rise during trading hours and to fall overnight. This bias stems from the index’s calculation methodology, particularly the use of business time and dynamic weighting of next-term options, which include overnight variance risk premiums. It overlaps with and is more pronounced than the day-of-the-week effect. To mitigate this bias, we propose data filtering and revising the calculation method to a forward-starting variance. These solutions aim to enhance the VIX1D’s interpretability and reliability for risk assessment in financial markets.
- Andere Ausgabe
- Link zum Artikel, der zuerst in der Zeitschrift „Finance research letters” im Verlag Elsevier erschienen ist.
DOI: 10.1016/j.frl.2024.105186 - Verweis
- Ergänzendes Material ist unter folgendem Link zu finden.
Link: https://www.sciencedirect.com/science/article/pii/S1544612324002162?via%3Dihub#appendix - Freie Schlagwörter (EN)
- VIX1D, Implied volatility, Intraday pattern, Overnight bias, Day-of-the-week effect
- Klassifikation (DDC)
- 330
- Verlag
- Elsevier, New York
- Version / Begutachtungsstatus
- publizierte Version / Verlagsversion
- URN Qucosa
- urn:nbn:de:bsz:14-qucosa2-989803
- Veröffentlichungsdatum Qucosa
- 08.07.2026
- Dokumenttyp
- Artikel
- Sprache des Dokumentes
- Englisch
- Lizenz / Rechtehinweis
CC BY 4.0