Variance in Volatility: A foray into the analysis of the VIX and the Standard and Poor’s 500’s Realized Volatility
Date
2013-04-24
Authors
Journal Title
Journal ISSN
Volume Title
Repository Usage Stats
285
views
views
730
downloads
downloads
Abstract
This study finds that the AR models map the VIX and Realized Volatility time series’ better than MA models do, and find the lags of greatest correlation between the two time series’ to be between 11 and 16 days, with a correlation coefficient of approximately 0.54.
Type
Department
Description
Provenance
Subjects
Citation
Permalink
Citation
Kim, Arthur (2013). Variance in Volatility: A foray into the analysis of the VIX and the Standard and Poor’s 500’s Realized Volatility. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/6781.
Dukes student scholarship is made available to the public using a Creative Commons Attribution / Non-commercial / No derivative (CC-BY-NC-ND) license.