I'm currently reading a paper* which deals with seperating the volatility of volatility index (VVIX) into a physical measure of volatility of volatility (RVVIX) and a risk premium of v.o.v (VVRP). To do so, one has to:
"RVVIX is obtained by computing the realized variance of the five-minute front-month VIX future returns over the past one month."
- Does anyone know if this RRVIX data can be obtained somewhere or from a certain database (I couldn't find it)
- Can anyone give me an explanation how to actually do those calculations, I'm really struggling to understand the process. E.g. "front month VIX future returns" means those are futures with the nearest expirations dates, but what futures exactly need to be considered (just because there are different prices and therefore different returns).
I know this question is probably very basic and a bit vague (I'm only an undergrad student), but I appreciate any form of help or suggestions Thanks in advance
' Volatility-of-volatility and tail risk hedging returns, Yang Ho Park, 2013