New answers tagged vix
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Is the VIX fit for purpose; and thus are VIX futures a financial porn abomination, f***ed up squa... powered?
What should the optimal volatility product look like first-order theoretical principles?
What should the optimal volatility product look like from hedging and liquidity principles?
How in hell should one even think about a first-pass sensible guess ...
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You've already asked this question once and received some answers. Typically at the undergrad level a thesis is a topic that may have come up that you want to go a bit deeper on. Sounds like you have that, why not talk to your advisor, or simply a professor, about what you're thinking and see if they have thoughts about what related questions might merit ...
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VIX futures doesn't always inversely correlated to stock returns. A better approach I can think of is to short stock index futures or index ETF for hedging.
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Gonzalez-Perez (2015) Model-free volatility indexes in the financial literature: A review makes some remarks on this topic in section 2.2.
Andersen, Bondarenko & Gonzalez-Perez (2013) identify a new error source in VIX that
generates a significant number of jumps in the volatility index unconnected with the underlying volatility process and that ...
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