How good a forecast is the VIX Close's 1d-ahead volatility prediction? In other words, if the VIX closes at a certain value, what does that say about tomorrows volatility?
Interesting findings Lago. I don't have much knowledge of VIX Vols and not much of a mathematical background but I can see what you are trying to discover, and I am learning along the way, so thanks.
Keep it up, your posts are well written and detailed.
Interesting findings Lago. I don't have much knowledge of VIX Vols and not much of a mathematical background but I can see what you are trying to discover, and I am learning along the way, so thanks.
Keep it up, your posts are well written and detailed.
Thanks Shonnan! I always hope that I'm helpful somehow :) p.s I'm also learning a lot along the way