Variance in Volatility: A foray into the analysis of the VIX and the Standard and Poor’s 500’s Realized Volatility
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
Honors thesisDepartment
EconomicsPermalink
https://hdl.handle.net/10161/6781Citation
(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.Collections
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Rights for Collection: Undergraduate Honors Theses and Student papers