Skew index : descriptive analysis, explanatory power and short-term forecast

This paper analyzes the behavior of the Skew Index, presenting a series of stylized facts (empirical characteristics) given the analysis of different stock market indexes vastly employed in the financial literature as reference of the financial market (SandP500 and MSCI World indexes). Moreover, Skew Index is compared with investor fear indexes, such as the CBOE VIX, IVX, XAU (Gold and Silver) and the Bull-Bear Spread. Data length employed from the Chicago Board Options Exchange© Skew Index consists of monthly information from January, 1990 to December, 2018. The Skew Index is calculated from the SandP500?s tail risk price, specifically from the OTM options prices of this stock index, which reveals a large compensation variable in time due to fear of financial disasters. Finally, a model is developed that allows forecasting events of the Skew Index in the short term, with ARIMA and GARCH processes.

• Autores: Vanegas Herrera, Esteban Nicolás
• Fecha de publicación: 2019
• Institución: Universidad de los Andes
• Repositorio: Séneca: repositorio Uniandes
• Idioma: eng
• OAI Identifier: oai:repositorio.uniandes.edu.co:1992/44015
• Acceso en línea: http://hdl.handle.net/1992/44015
• Palabra clave: Indices bursátiles - Investigaciones; Riesgo (Finanzas) - Investigaciones; Predicción del precio de las acciones - Investigaciones; Crisis financiera - Investigaciones - Métodos de simulación; Administración
• Rights: openAccess
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/