I asked a similar question on here with a bounty. I decided to modify the question to simplify what I am trying to do. Is there a package on MATLAB or some other tool where I can find the probability the VIX moves from one price to another? (i.e. the transition density). Is there a model I can work from? Does anyone have any recommendations in doing the latter above?
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$\begingroup$ Mb. try the following two papers on VIX variance modelling (haven't read them myself). papers.ssrn.com/sol3/papers.cfm?abstract_id=2028285 and papers.ssrn.com/sol3/papers.cfm?abstract_id=3071762 $\endgroup$– Lennart_RDec 8, 2017 at 10:26
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