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    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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    Date
    2013-04-24
    Author
    Kim, Arthur
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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.
    Type
    Honors thesis
    Department
    Economics
    Subject
    VIX
    Realized Volatility
    Permalink
    http://hdl.handle.net/10161/6781
    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 http://hdl.handle.net/10161/6781.
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    This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 United States License.

    Rights for Collection: Undergraduate Honors Theses and Student papers

     

     

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