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I have not been able to find a White Paper on how the CBOE VIXNE index is constructed. Any lead to short term volatility index calculations would be appreciated. Thanks

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    $\begingroup$ I believe the same method is used for VIX9D as for VIX, just using different option maturities cboe.com/index/dashboard/vix9d#vix9d-overview VIXNE does not exist, you may be referring to VINXE $\endgroup$ – noob2 Oct 5 at 10:22
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    $\begingroup$ Yes, that was a typo. I indeed meant VINXE. $\endgroup$ – bruno Oct 6 at 11:56
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As stated on the VIX9D page (see the link from noob2):

The CBOE S&P 500 9-Day Volatility Index SM (VIX9D) estimates the expected 9-day volatility of S&P 500® stock returns. Similar to VIX®, VIX9D is derived by applying the VIX algorithm to options on the Standard &Poor's 500 Index (SPX options), but it uses SPX options with expiration dates that bracket a nine-day period of time.

This means that for VIX9D, you can exactly follow the VIX Whitepaper, but simply use contracts with a different maturity.

E.g. for today (05.10.2020), the 9-Day maturity would be on the 14th. We then select the "near-term" contract from the 9th (= 4-day maturity) and the "next-term" contract from the 16th (= 11-day maturity), calculate their respective implied volatility as described in the Whitepaper and interpolate the 9-day value of the VIX, which lies in between these contracts.

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    $\begingroup$ Also, feel free to contact me about the VIX calculation algorithm in general - I recently applied it in a piece of research on intraday VIX for individual equities and know it quite well at this point. $\endgroup$ – Martin Georg Haas Oct 5 at 15:37
  • $\begingroup$ Thank you Martin. $\endgroup$ – bruno Oct 6 at 11:58
  • $\begingroup$ Hi Martin, I would be much obliged if you could point me towards your VIX research. Thanks. $\endgroup$ – bruno Oct 9 at 12:24
  • $\begingroup$ sure: papers.ssrn.com/sol3/papers.cfm?abstract_id=3644295 $\endgroup$ – Martin Georg Haas Oct 9 at 13:07
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Martin, I believe this is your research paper that you mentioned? https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3644295

For my time-series class at DePaul, I chose for my group project to study the relationships between the SPX, VIX, VIX9D, VIX3M, etc. One of the things we're wrestling with is trying to match the realized volatility of the SPX with the various VIX indices, because we're calculating the former from the log returns of the closing prices on the trading days, whereaas the latter are based on calendar days. If you would not mind, could I also contact you regarding the VIX calculation algorithm?

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    $\begingroup$ Sure (although I'm not quite sure if this is a proper use of an answer). With regards to matching RV and VIX: if you have an estimate of the VIX say for day 1, the corresponding RV is calcuated using the log returns from the next 21 trading days (which is around one calendar month and close enough to the 30-day maturity of the VIX). For examples see e.g. Carr & Wu( 2009): doi.org/10.1093/rfs/hhn038 or Andersen & Bondarenko (2009): scholars.northwestern.edu/en/publications/… $\endgroup$ – Martin Georg Haas Oct 9 at 12:17

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