I am trying to add a volatility factor to Fama-French factor model. Does anybody know of a source where I can get data for "volatility mimicking factor" or suggest a simple methodology for calculation. (Ang, 2006) introduces a FVIX factor and points that change in VIX cannot be used directly. I am open to trying other volatility factors if someone has a suggestion


FVIX is not hard to compute. Just regress changes in VIX on excess returs of your base assets (it can be the 25 FF portfolios if those are what you are trying to explain) i.e run the following:

\Delta VIX_t = X_t\beta+\epsilon

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    $\begingroup$ The volatility factor would change with the portfolio in this case. There is a more extensive methodology followed in the paper with sorting assets into quintiles and then constructing value weighted portfolios. Can you elaborate on that. $\endgroup$ – Kumar Jul 2 '15 at 18:22

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