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

dc.contributor.author	Kim, Arthur
dc.date.accessioned	2013-04-24T17:48:37Z
dc.date.available	2013-04-24T17:48:37Z
dc.date.issued	2013-04-24
dc.department	Economics
dc.description.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.
dc.identifier.uri	https://hdl.handle.net/10161/6781
dc.language.iso	en_US
dc.subject	VIX
dc.subject	Realized volatility
dc.title	Variance in Volatility: A foray into the analysis of the VIX and the Standard and Poor’s 500’s Realized Volatility
dc.type	Honors thesis

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