While many studies analyse the impact of scheduled macroeconomic announcements on equity market volatility, few focus on the impact on option implied volatilities. In this study, we examine the link between German and US macroeconomic events and the implied volatility indices DAX Volatility
Index (VDAX) and Chicago Board Options Exchange, CBOE Volatility Index (VIX). We find that both indices fall on announcement days, with the strongest reactions occurring during the financial crisis from 2008 to 2009. Further, we identify a volatility spillover effect and significant covariance
clustering between VDAX and VIX.
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VIX and VDAX indices;
bivariate VECH GARCH model;
Document Type: Research Article
Union Investment Chair of Asset Management, Department of Finance,Accounting and Real Estate, EBS Business School, EBS Universität für Wirtschaft und Recht, Gustav-Stresemann-Ring 3D-65189 Wiesbaden, Germany
Endowed Chair of Banking and Finance, Department of Finance,Accounting and Real Estate, EBS Business School, EBS Universität für Wirtschaft und Recht, Gustav-Stresemann-Ring 3D-65189 Wiesbaden, Germany
Deutsche Börse, Market Data and Analytics, Mergenthalerallee 61-71, 65760 Eschborn, Germany
Publication date: 2011-11-01
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