Variance in Volatility: A foray into the analysis of the VIX and the Standard and Poor’s 500’s Realized Volatility

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2013-04-24

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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.

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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.


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