---
title: Volatility and Regime Switching in Sustainable Indices
url: https://www.ml-quant.com/papers/ssrn/4579948/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4579948
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4579948
featured: 2023-09-28
citations: unknown
topic: Derivatives & Volatility
---


# Volatility and Regime Switching in Sustainable Indices

The performance and volatility of sustainable indices are influenced by regime-switching, with positive shocks impacting volatility differently than negative ones, as demonstrated by a study of major sustainable indices from 2009 to 2017.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4579948
- Identifier: SSRN 4579948
- Released: 2021-07-29
- First featured: Quant Letter No. 17 (2023-09-28): https://www.ml-quant.com/issues/2023-09-28/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- ['I'm Stranded': Transition Risk Information in CDS and Options](https://www.ml-quant.com/papers/ssrn/4551442/): The research uses CDS and put option prices to gauge the likelihood and impact of climate change policy-related transition risk events, creating a reliable CDS-based index.
- [Climate Risk and Financial Markets: The Case of Green Derivatives](https://www.ml-quant.com/papers/ssrn/4615427/): The EU Green Deal aims to make Europe carbon-neutral by 2050, requiring 1 trillion euro in sustainable investments, with derivatives markets and 'green derivatives' crucial for managing climate risk.
- [Investigate The ESG Score Methodology](https://www.ml-quant.com/papers/arxiv/2312.00202/): The paper compares the predictive power of raw and aggregated Environmental, Social, and Governance (ESG) scores on company stock returns and volatility, with raw ESG data proving most predictive.
- [Consistent asset modelling with random coefficients and switches between regimes](https://www.ml-quant.com/papers/arxiv/2401.09955/): A stochastic model is examined that incorporates external influences and uncertainty in the parametrization of stochastic dynamics, using a Markov-modulated approach for regime switching, applied to option pricing in a numerical experiment.
- [Natural Capital as a Stock Option](https://www.ml-quant.com/papers/arxiv/2404.14041/): The article proposes treating Earth's natural capital as a stock option to maintain and restore ecosystems, in response to the climate crisis caused by excessive fossil fuel use.
- [Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches](https://www.ml-quant.com/papers/arxiv/2407.05866/): The COGARCH and Barndorff-Nielsen and Shephard models are adapted to a Markov-switching environment, allowing for sudden volatility jumps at regime switch times and capturing key characteristics of financial time-series.