A1592
Title: Connected volatility: Global cross-asset network analysis of implied volatility
Authors: Tomas Plihal - Masaryk University (Czech Republic)
Darek Sidlak - Masaryk University (Czech Republic)
Oleg Deev - Masaryk University (Czech Republic) [presenting]
Abstract: The interrelationships are investigated among implied volatility indices across multiple asset classes, often viewed as indicators of investor sentiment. Utilizing a network theory framework, the focus is on quantile-based co-movements rather than time-dynamic connectedness. The findings, derived from cross-quantilograms, reveal that these indices form robust, densely connected networks, predominantly in middle to upper quantiles. However, such patterns disintegrate during extreme market conditions. Further, frequency-based analysis suggests that volatility linkages are most prevalent within the same asset class, particularly among equity, FX, and fixed income indices, and are influenced by geographical proximity.
