I'm thinking about the relationship between the volatility of a bunch of single stocks and the US VIX - as the companies in question tend to export heavily to the US.

To get a grasp over the beta involved, I was thinking about taking 5-day changes in the single stock implied vols (interpolated to a constant maturity like the VIX), 5-day changes in the VIX, and regressing the former on the latter.

But should I be taking log-changes instead?

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    $\begingroup$ Log-change of implied volatility and of VIX? $\endgroup$ May 18, 2023 at 16:13


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