Economics, Econometrics and Finance
4 years ago

Investors' Fear of Volatility Shapes Market Behavior, Study Finds.

Journal of Financial and Quantitative Analysis
Heterogeneity in Beliefs and Volatility Tail Behavior
Gurdip Bakshi, Dilip B. Madan, George Panayotov

Paper Summary

Related papers

Economics, Econometrics and Finance
a year ago

New volatility rule could reshape financial markets, impacting global investors.

Option Pricing
Financial Volatility
Econophysics
3 views
Economics, Econometrics and Finance
7 years ago

Implied volatility fails to beat GJR-GARCH in Value-at-Risk forecasts.

Financial Volatility
Option Pricing
Oil Price Shocks
2 views
Economics, Econometrics and Finance
8 years ago

Model-free implied volatility outperforms traditional methods, revolutionizing market forecasting.

Option Pricing
Asset Pricing
Financial Volatility

The article explores how investors' fear of both low and high volatility affects the pricing of financial assets. By studying how different investors view volatility, the researchers found that their model accurately captures the behavior of volatility in the left tail of the distribution. This suggests that investors' beliefs about volatility play a crucial role in shaping market outcomes.