标题： 超越传统VIX：识别金融市场不确定性冲击的新方法 显示英文标题

标题： Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets

摘要： 我们引入了一种新的不确定性冲击识别策略，以解释金融市场中的宏观经济波动。芝加哥期权交易所波动率指数（VIX）衡量市场对未来波动性的预期，但基于二阶矩冲击和VIX时变波动的传统方法往往无法捕捉资产收益的非高斯、厚尾特性。为了解决这个问题，我们通过将双子序正态逆高斯莱维过程拟合到标普500期权价格，构建了一个修正的VIX，提供了一个更全面的波动性度量，反映了金融数据中观察到的极端波动和厚尾现象。使用公理化方法，我们引入了一类广义的风险回报比率，使用我们的修正VIX并拟合到分数时间序列，以更准确地识别金融市场中的不确定性冲击。 显示英文摘要

摘要： We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but traditional methods based on second-moment shocks and time-varying volatility of the VIX often fail to capture the non-Gaussian, heavy-tailed nature of asset returns. To address this, we construct a revised VIX by fitting a double-subordinated Normal Inverse Gaussian Levy process to S&P 500 option prices, providing a more comprehensive measure of volatility that reflects the extreme movements and heavy tails observed in financial data. Using an axiomatic approach, we introduce a general family of risk-reward ratios, computed with our revised VIX and fitted over a fractional time series to more accurately identify uncertainty shocks in financial markets.