A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the U.S. Equity Market Obsolete?
New Index for Volatility Forecasting: The Cboe's 1-Day Volatility Index overestimates S&P 500 volatility, but a simple proxy can correct this for more accurate forecasts with less data.
Featured in No. 7 on 12 Jul 2023 · 2 days after release · 3 citations today
- Released
- 10 Jul 2023
- First featured
- No. 7 · 12 Jul 2023
- Citations (Semantic Scholar)
- 3
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4505785
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).