Replicating the CBOE VIX using a synthetic volatility index trading algorithm

Replicating the CBOE VIX using a synthetic volatility index trading algorithm

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an undeveloped trading strategy to gauge its forecasting accu...

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Bibliographic Details
Main Authors: Dayne Cary, Gary van Vuuren
Format: Article
Language:English
Published: Taylor & Francis Group 2019-01-01
Series:Cogent Economics & Finance
Subjects:
volatility index
vix
correlation
trading strategy
Online Access:http://dx.doi.org/10.1080/23322039.2019.1641063

Internet

http://dx.doi.org/10.1080/23322039.2019.1641063

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