The Causal Relationship between the S&P 500 and the VIX Index Cr
Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relation
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Florian Auinger
The Causal Relationship between the S&P 500 and the VIX Index Critical Analysis of Financial Market Volatility and Its Predictability
Florian Auinger Linz, Austria
BestMasters ISBN 978-3-658-08968-9 ISBN 978-3-658-08969-6 (eBook) DOI 10.1007/978-3-658-08969-6 Library of Congress Control Number: 2015932842 Springer Gabler © Springer Fachmedien Wiesbaden 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, speci¿cally the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on micro¿lms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a speci¿c statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper Springer Gabler is a brand of Springer Fachmedien Wiesbaden Springer Fachmedien Wiesbaden is part of Springer Science+Business Media (www.springer.com)
Acknowledgements
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Acknowledgements I would like to express my gratitude to my supervisor Othmar Lehner for the extremely useful comments, remarks and his enormous commitment throughout the process of this master thesis. Furthermore, I would like to thank all the professors and the CRF-staff at FH Steyr for guiding and accompanying us through the whole Master’s degree programme. I would also like to thank the industry experts who have willingly shared their valuable time to support me by participating in the qualitative interviews and consequently, have contributed significantly to the outcome of this research. Finally, I would like to thank all my family and friends, who have supported me throughout my studies. Florian Auinger
Content
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