Tag Info

New answers tagged


You can find VIX intraday history back to 2003 at Pi Trading, http://pitrading.com. Look under the market data package.


It is a stylized feature that the correlation between SPX and VIX is negative (around -0.7) thus we have an interesting process here. Nothing as simple as driftless Brownian motion. The volatility process jumps up and then fades out which is often modelled as Hawkes process (see e.g. here). Thus conclusions from the simple Gaussian model (with Chi-quared ...

Top 50 recent answers are included