The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile–where extreme negative bank returns are present–jumps in the VIX are highly significant.
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The asymmetric impact of changes in implied volatility is examined by quantile regressions, with the findings showing that in the lower quartile–where extreme negative bank returns are present–jumps in the VIX are highly significant.