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”.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Defining extreme volatility events at the S&P 500 Index |
| Language: | English |
| Keywords: | Extreme Value Theory, Peak Over Threshold, Generalized Pareto Distribution, Return Level, Extreme Volality Event |
| Subjects: | C - Mathematical and Quantitative Methods > C0 - General G - Financial Economics > G0 - General |
| Item ID: | 21053 |
| Depositing User: | Ronny Suarez |
| Date Deposited: | 04 Mar 2010 03:32 |
| Last Modified: | 27 Sep 2019 15:41 |
| References: | Dolde, W., Saad, R., Tirtiroglu, D. (2002). Evidence that Extreme Volatility in Stock Prices is Associated with Extraordinary Reported News Items. McNeil, A. J. (1999). Extreme Value Theory for Risk Managers. Internal Modelling and CAD II. RISK Books, 93-113. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/21053 |
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