Munich Personal RePEc Archive

Defining extreme volatility events at the S&P 500 Index

Suarez, Ronny (2010): Defining extreme volatility events at the S&P 500 Index.

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Abstract

In this paper we estimated not-overlapped monthly historic standard deviations of the S&P 500 Index returns for the period 1950 – 2009, then using extreme value theory we defined extreme volatility events and introduced an alternative “fear scale” that is compared with the “fear index”.

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