文章基本信息

标题：The jump-diffusion process for the VIX and the SP 500 index
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作者：Chi-Tai Lin ; Yen-Hsien Lee
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2010
卷号：4
期号：9
页码：1761-1768
语种：English
出版社：Academic Journals
摘要：This paper applies the CBP-GARCH model of Chan (2003) to analyze the discontinuous jump and the time-varying correlated jump intensity for the changes in the VIX and the S&P 500 returns over the period extending from January 15, 2001 to December 31, 2009. The empirical results provide evidence of the significant jump-diffusion process and the causal relationships in the bi-directions between the S&P 500 returns and the changes in the VIX. In addition, the relationships between the S&P 500 returns and the changes in the VIX exhibit joint jump behavior are not time varying.
关键词：VIX;CBP-GARCH model;jump-diffusion process