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An Analysis of the VIX Volatility Index on the US Treasuries, Specifically During the Periods of Quantitative Easing

Authors: Carolyne Soper;

An Analysis of the VIX Volatility Index on the US Treasuries, Specifically During the Periods of Quantitative Easing

Abstract

Volatility is a concern of many investors. In turbulent financial times there can be a flight from the equity market to treasury bonds in order to provide greater security, liquidity and guarantee of returns. Calculated as a weighted average of put and call options on the SP across models the change in VIX was predictive of the change in treasury. The model examination determined that in the model that included the autoregressive and moving average provided the most accurate results.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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