V2I10P64

A Decadal Study of Commonality & Uniqueness for India VIX and U.S. VIX (2015–2025) Using Momentum Indicators for Implied Volatility

Dr. Tuhin Mukherjee^1*, Subhrajyoti Mandal²

Abstract

This study presents a comparative analysis of the volatility dynamics between the Indian and U.S. equity markets over a ten-year period (September 2015–August 2025), using the India VIX (NSE) and the U.S. VIX (CBOE) as key measures of implied market volatility. Descriptive statistics reveal right-skewed distributions and high kurtosis in both indices, reflecting frequent calm periods punctuated by abrupt volatility spikes, particularly during global crises such as the COVID-19 pandemic. Time series analysis confirms that both indices exhibit strong mean-reverting behavior and volatility clustering, with India VIX generally displaying higher baseline volatility and quicker post-crisis normalization than its U.S. counterpart. Technical momentum indicators, including the Stochastic Momentum Index (SMI) and Williams %R, further elucidate short-term dynamics in volatility sentiment. The SMI analysis highlights mild bullish momentum in the India VIX versus strong negative momentum in the U.S. VIX, suggesting divergent volatility regimes—an emerging pre-volatility phase in India versus a cooling phase globally. Similarly, Williams %R results indicate higher oscillation frequency and momentum extremes in the U.S. VIX, implying greater sensitivity to global shocks. Overall, the findings underscore the partial integration yet distinct behavioral traits of the two markets, with implications for cross-market hedging, risk management, and volatility forecasting strategies.

Keywords:

Implied Volatility; Volatility Clustering; Mean Reversion; Stochastic Momentum Index (SMI); Williams %R