Stock Market Volatility - Do macroeconomic variables affect stock market volatility?
The purpose of this thesis is to analyze whether macroeconomic variables affect the stock market volatility defined as the volatility of S&P 500 index returns. Except for seasonal dummies, seven variables are used to explain the stock market volatility: default spread, volatility of inflation, volatility of Industrial production, implied volatility, slope of the yield curve, volatility of 3-mo
