Title: Volatility Study of French CAC 40 VIX (VCAC) – A Review of GARCH and Information Entropy
Abstract: Volatility is the measure of the dispersion from the actual returns. And volatility index (VIX) indicates the expected fluctuations in the underlying index for the near term. Both terms are very important in portfolio management as they capture the market risk and investor’s behavior. Therefore, this study aims to observe the volatility levels of the French CAC 40 VIX called VCAC during multiple time zones ranging from early 2005- early 2020 to determine the most volatile period by using econometric tool GARCH (1,1) and an econophysics tool Shannon entropy. This study will carry out a comparison between the two adopted methodologies to verify the most suitable tool for capturing the volatility by interpreting the similarity or the differences of the obtained results.
Publication Year: 2020
Publication Date: 2020-01-01
Language: en
Type: review
Indexed In: ['crossref']
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