This is a summary of links featured on Quantocracy on Wednesday, 02/12/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Simple Vol Estimators [Falkenblog]While short-term asset returns are unpredictable, volatility is highly predictable theoretically and practically. The VIX index is a forward-looking estimate of volatility based on index option prices. Though introduced in 1992 it has been calculated back to 1986, because when released they wanted people to understand how it behaved. Given the conditional volatility varies significantly over time