The Vix and The Future

In a previous post, we examined the relationship between the VIX and the past, realized volatility of the S&P 500. Today, we’ll think about how/whether the VIX predicts future volatility and we’ll be reproducing some visualizations from this Bloomberg piece. Once again, the substance and ideas here are 100% attributable to Bloomberg - my goal is to reproduce and add to our R toolkit, and learn something about volatility. First, we grab the price history of the VIX and SP500, convert to returns, and calculate the rolling 20-day volatility of the SP500.

Read more

Share Comments ·

Realized Volatility and the VIX

Today we’ll explore the relationship between the VIX and the past, realized volatility of the S&P 500. The VIX is a measure of the expected future volatility of the S&P500 and it has been quite low recently. As a volatility nerd, I came across an interesting piece from AQR on the meaning of the VIX. As a reproducibility and R nerd, I decided to reproduce some of the findings using R.

Read more

Share Comments

Introduction to Volatility

This is the beginning of a series on portfolio volatility, variance, and standard deviation. I realize that it’s a lot more fun to fantasize about analyze stock returns, which is why television shows and websites constantly update the daily market returns and give them snazzy green and red colors. But good ol’ volatility is quite important in its own right, especially to finance geeks, aspiring finance geeks, and institutional investors. If you are, might become, or might ever work with/for any of those, this series should at least serve as a jumping-off point.

Read more

Share Comments ·


Read more

Share Comments ·

Post


Read more

Share Comments