My last post was about predicting VIX index using MOVE index where I posted a basic model for VIX fair value. MOVE closed last week at 99.80 (Bloomberg) , implying VIX price of 20.98. Of course to use the model one needs to investigate the average error. To do that I used 10K bootstrap regressions to figure out mean absolute error of 4.72(histogram below). While not amazingly accurate, VIX fair value model is good enough as a basic cheap/expensive indicator. Since the current VIX value is well within the error of the forecast, it is clear that equity implied volatility is in line with the Treasury markets.
Subscribe to:
Post Comments (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t...
-
Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is d...
No comments:
Post a Comment