On the non-linear relationship between VIX and realized SP500 volatility
VIX, a ticker symbol for Volatility Index, measures the implied annual volatility of at-the-money SP500 Index Options. Conventional wisdom presumes VIX to measure the magnitude (positive or negative) of possible movements in future equity prices, with movements being a positive function of VIX. This...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2017-07-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8939/imfi_2017_02cont_Russon.pdf |