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seen Nov 29 at 20:57

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