The VIX and VXN volatility measures: Fear gauges or forecasts?

  • Arak M
  • Naranchimeg M
  • 9


    Mendeley users who have this article in their library.
  • N/A


    Citations of this article.


This paper examines the behaviour of the 'VXO', previously called the 'VIX', and 'VXN' measures of the volatility implied by stock index options. From the mid-1990s to the end of 2002, the volatility measures seem to reflect both sentiment associated with market declines ('fear') and imminent actual volatility. There is a stark difference between the early and late parts of that time interval, however. Prior to the Russian default in August 1998, the volatility measures do not forecast imminent stock index volatility; the VXO in this early period seems to be reflective of investor fear. In the interval after the Russian default, however, both the VXO and the VXN reflect future volatility rather than investor fear. [PUBLICATION ABSTRACT]

Author-supplied keywords

  • 3400:Investment analysis & personal finance
  • 8130:Investment services
  • 9130:Experiment/theoretical treatment
  • Business And Economics--Investments
  • Forecasts
  • Options markets
  • Profitability
  • Stock exchanges
  • Studies
  • Volatility

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


  • Marcelle Arak

  • Mijid Naranchimeg

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free