Paper Title
A Further Investigation Into the VIX Behavior Before and after the Credit Crunch

We report on the volatility patterns of the S&P 500 Options Index for the past twelve years, focusing on the returns and distribution of the weekly prices of the CBOE VIX. The set of the twelve years is separated into three periods: pre-crisis (2005-2007), the crisis period (2008-2010), and the post-crisis (2011-2017), so as to investigate potential links between investors’ behavior and real economy developments and explain clustering effects or outliers. At large, both the mean weekly returns of VIX and the nature of their variance remain unaffected by the credit crisis in the long-run, allowing little room for potential investment strategies. Though difficult to examine all possible factors influencing VIX behavior, we prefer low frequency weekly data, in order to catch the long-term trend and draw empirical conclusions on investor sentiment. Keywords- S&P500, VIX Index, Volatility Behavior JEL classification: G10, G14, C30