Contents Introduction Analysis of output Algorithmic procedure Algorithmic Procedure (step by step)
Introduction Stock market index is a measure of stock markets status. Volatility represents its instability
Introduction The volatility suffers a sharp change whenever an event occurs that deteriorates the market condition.
Data Used Stock Price index of S&P 500 Closing Price is considered
Basis for detecting shocks Volatility suffers sharp change whenever an event occurs At the moment of shock, magnitude of volatility gets a much higher value than its neighboring days volatility Not all sharp changes present shocks. Only a small percentile
DateReasons August 2007 (1) During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. October 2007 (2)Huge change in Dow Jones Industrial Index January 2008 (3)Oil price surpasses $100 per barrel March 2008 (4)Bean Stearns Companies, Inc was sold to JP Morgan October 2008 (6, 7) Large losses in financial market worldwide