Implied and Realized Volatility: A Study of the Ratio Distribution
Statistical Finance
2019-08-01 v1 Mathematical Finance
Abstract
We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following month. We show that the ratio of the two is best fitted by a Beta Prime distribution, whose shape parameters depend strongly on which of the two months is used.
Cite
@article{arxiv.1810.07735,
title = {Implied and Realized Volatility: A Study of the Ratio Distribution},
author = {M. Dashti Moghaddam and R. A. Serota},
journal= {arXiv preprint arXiv:1810.07735},
year = {2019}
}
Comments
9 pages, 10 figures, 9 tables