The CBOE volatility index, or VIX, is also known as the "fear index". This week it jumped to its highest level since 2011. The VIX, which is calculated using S&P 500 options prices, has been placid most of this year, with the exception of a brief spike last month during Greece's debt crisis. But on August 24th, after a Chinese stock market crash triggered a global sell-off, the fear index rose to over 40 points (a reading below 20 suggest markets are unusually calm, and one over 30 indicates investor uncertainty). European and Chinese volatility indices also rose sharply. The main source of anxiety is the state of the Chinese economy, but an impending interest-rate increase in America is also fuelling worry.
In the Report, three volatility Indices are collected and investigated:
Search and explore these three daily volatility indices. Explain the definition and construction of each volatility index. Collect all the historical data series available, and make a graphic presentation and comparison. Other details will be announced in class.