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1. 1. Volatility Based Sentiment Indicators for Timing the Markets

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Fabio Antonio Cacia; Rossen Tzvetkov; [2008]
   Nyckelord :GARCH; volatility; sentiment; VIX; market timing signals; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : VIX, published by the Chicago Board Options Exchange, is a well known implied volatility estimator. In this paper we assess its capability to be used as a sentiment indicator, and to give signals for a short term investment strategy. LÄS MER