...Sangphill Kim Purpose This study introduces the Fear Z Function, a behavioral volatility framework that integrates psychological persistence and market momentum into the modeling of VIX decay. The purpose is to move beyond statistical asymmetry toward a model that explicitly captures fear...

...Gökçe Soydemir; Rahul Verma; Andrew Wagner Purpose Investors’ fear can be rational, emanating from the natural dynamics of economic fundamentals, or it can be quasi rational and not attributable to any known risk factors. Using VIX from Chicago Board Options Exchange as a proxy for investors’ fear...