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 Feb 28 awarded Nice Answer Feb 23 awarded Popular Question Nov 16 awarded Popular Question Oct 16 comment Implied volatility of a complex options position Why the downvote? Is this as easy as it sounds or are you just having a bad day? Oct 16 asked Implied volatility of a complex options position Jul 24 awarded Yearling Jun 23 asked Arbitrage bounds for Black-Scholes Jun 16 comment Regression model syntax The paper outlines the construction of $D$ and $\sum_{i=0}^HD_{t-i,1}$ is basically the rolling sum of $D$ for each $k$ from $t-i$ through $t$. I also agree that $r_{t+1} + ... + r_{t+H}$ is dependent on $...\sum_{i=0}^HD_{t-i,1}...$. Think about a very simple regression where $\hat{y} = \alpha + \beta x + \epsilon$. When constructing the model, there exists an existing dependent variable $y$ upon which to regress, or train the model. What is the "$y$" in this case? Jun 15 comment Regression model syntax Thanks for the comment but I don't think you answered my question. I understand what the lhs and rhs represents. I also understand that the regression models the future $r_{t+1}+...+r_{t+H}$ returns. What I am asking is in the actual construction/implementation of the model, what is the independent variable? We clearly do not yet have future returns, so upon what are we regressing? Jun 15 revised Regression model syntax fixed regression model latex Jun 14 revised Regression model syntax clarified independent variables Jun 14 asked Regression model syntax Jun 11 awarded Popular Question May 8 awarded Popular Question Mar 5 awarded Autobiographer Dec 25 comment VIX options historical data Ah sorry, did you check iVolatility.com for VIX options data? Dec 25 comment VIX options historical data You can get the SPX option data and compute the VIX values yourself or check out iVolatility.com. Jul 24 awarded Yearling Jul 2 awarded Curious Apr 24 awarded Enlightened