Journal of Applied Finance & Banking

The Relationship between VIX and Technical Indicator: The Analysis of Shared-Frailty Model

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  • Abstract

     

    This article uses a shared-fragility model for the recurrent spell length for the volatility index (VIX). Ten future VIXs have been chosen. The article examines the impacts of the top five market technical indicators, including the Moving Average Convergence–Divergence (MACD), Relative Strength Index (RSI), Triple Exponential Average (TRIX), Historical Volatility (HV), and Vertical Horizontal Filter (VHF). On the spell time of upward, downward, and overall trends, our findings supported the hypothesis that investors can better understand the pattern and trend of volatility risk by impacting the relevant technical index on various futures VIXs. We examined how technical indicators affect the volatility index. In the Weibull distribution, the upward trend data has the most significant values. The positive values provided by MACD and TRIX imply a strong positive relationship with VIX and a longer survival time. The results also show that the greater the value of historical volatility, the greater the risk to commercial investments. As a result, the possibility of VIX in the trading pattern has a shorter time because the selling signals are coming out.

     

    JEL classification numbers: G15.

    Keywords: VIX Index, Technical Indicator, Shared-frailty Model.