1. HVIX" is a dummy variable for heightened VIX days selected based on exponentially weighted moving average of past VIX with the decay factor ? equals to 0.3. Returns are in basis points and ?VIX are in percent. ?VIX[-6, -1] is demeaned so that the intercept reflects the average returns and ?VIX. The reported t-stat's use Newey-West standard errors, adjusting for serial correlations. The sample period is from;H;Daily returns on the S&P 500 index and changes in VIX are regressed on lagged changes in VIX over a six-day window,1994
2. Empirical Performance of Alternative Option Pricing Models;G Bakshi;Journal of Finance,1997
3. Risk for the Long Run;R Bansal;Journal of Finance,2004
4. Market-Based Monetary Policy Uncertainty