The impact of scheduled macroeconomic announcements on implied volatility index

Kiapekos, Georgios; Κιαπέκος, Γιώργος

dc.contributor.author	Kiapekos, Georgios	en
dc.contributor.author	Κιαπέκος, Γιώργος	el
dc.date.accessioned	2021-04-19T13:32:33Z
dc.date.available	2021-04-19T13:32:33Z
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/53354
dc.identifier.uri	http://dx.doi.org/10.26240/heal.ntua.21052
dc.description	Εθνικό Μετσόβιο Πολυτεχνείο--Μεταπτυχιακή Εργασία. Διεπιστημονικό-Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών (Δ.Π.Μ.Σ.) “Μαθηματική Προτυποποίηση σε Σύγχρονες Τεχνολογίες και στα Χρηματοοικονομικά”	el
dc.rights	Αναφορά Δημιουργού 3.0 Ελλάδα	*
dc.rights.uri	http://creativecommons.org/licenses/by/3.0/gr/	*
dc.subject	Implied volatility	en
dc.subject	Macroeconomic announcements	en
dc.subject	Implied volatility index	en
dc.subject	News releases	en
dc.subject	VIX index	en
dc.title	The impact of scheduled macroeconomic announcements on implied volatility index	en
heal.type	masterThesis
heal.classification	Finance, Econometrics, Macroeconomics	en
heal.language	en
heal.access	free
heal.recordProvider	ntua	el
heal.publicationDate	2021-03
heal.abstract	Over the past few years, the relationship between options implied volatility indices and macroeconomic indicators, has stimulated the interest of both the academic community and financial market participants, such as investors, analysts and managers. The VIX index has been created by Chicago Board Options Exchange (CBOE) in 1993, is derived from options written on S&P 500 index, reflects the market’s expectations for short-term volatility over the next 30 days in the U.S. stock market. It widely known as the ‘fear gauge’ index, as it can be used by investors to measure market risk or to hedge against investment risk in order to protect their portfolio. The purpose of this study is to examine the impact of scheduled macroeconomic announcements on the implied volatility index VIX. This thesis aims to focus on major macroeconomic indicators like consumer price index (CPI), producer price index (PPI), gross domestic product growth rate (GDP), employment report (EMP) and Federal Open Market Committee meetings (FOMC), over the sample period of 3rd January 1990 to 31st December 2020. Therefore, the main objective of this study is to investigate whether the macroeconomic news releases affect the VIX index significantly and analyse how the VIX behaves around these scheduled macroeconomic announcements. The empirical findings of this research originate from the constructed econometric models of the study through OLS regression and GARCH family models. The whole of the related literature is based on the hypothesis resulting from past literature, according to which the VIX increases before the scheduled announcements, drops during the release day and continues to decrease after the announcements. The empirical results reveal that VIX is significantly attributed toward the macroeconomic indicators. VIX is found to be more responsive to CPI, GDP and Employment reports, while VIX seems to be in full compliance with the hypothesis only for GDP and Employment situation reports. Besides, the study shows that investors regard more than one scheduled announcement in the valuation of their financial assets, which means that investors consider the joint effect of CPI, PPI, GDP, EMP, and FOMC in their financial planning.	en
heal.advisorName	Triantafyllou, Athanasios	en
heal.committeeMemberName	Mintzelas, Apostolos	en
heal.committeeMemberName	Caroni, Crys	en
heal.academicPublisher	Εθνικό Μετσόβιο Πολυτεχνείο. Σχολή Εφαρμοσμένων Μαθηματικών και Φυσικών Επιστημών	el
heal.academicPublisherID	ntua
heal.numberOfPages	56 σ.	en
heal.fullTextAvailability	false