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seen Dec 24 '13 at 16:38

Oct
7
awarded  Scholar
Oct
7
accepted Can VIX be interpreted as a proxy for instantaneous volatility?
Oct
4
comment Can VIX be interpreted as a proxy for instantaneous volatility?
Got it. Still not sure why they just wouldn't use end-of-month VIX to estimate their model if long-run dynamics are the interest. They'd at least avoid using a proxy time series with an embedded MA component.
Oct
4
comment Can VIX be interpreted as a proxy for instantaneous volatility?
@Beer4All: Thx for pointing this out. Makes sense if VIX is thought of as a 30-day-MA over future daily volatility
Oct
4
awarded  Supporter
Oct
3
revised Can VIX be interpreted as a proxy for instantaneous volatility?
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Oct
3
awarded  Student
Oct
3
awarded  Editor
Oct
3
revised Can VIX be interpreted as a proxy for instantaneous volatility?
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Oct
3
asked Can VIX be interpreted as a proxy for instantaneous volatility?