The Daily Closing VIX Data for 2008 Reveal Unrecognized Properties
Maria T. Gonzalez-Perez
Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
David E. Guerrero
Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF)
Arthur B. Treadway
affiliation not provided to SSRN
July 1, 2009
Data analyses of daily closing VIX in 2008 reveal that: (1) the value of the lambda parameter, in the one-parameter Box and Cox (1964) family, appropriate for VIX, is around -.4 and is very far from one (no transformation) and zero (logarithm), the values typical of most of the literature, (2) the optimally transformed VIX follows an I(1) stochastic process, so that undifferenced VIX, transformed or not, does not have properties propitious for statistical analysis and (3) there are occasional large and unforecastable anomalous events in VIX data that, if ignored, can seriously distort any sort of statistical analysis. We achieve a linear, normal, homoskedastic representation of this data by transforming VIX in the B-C sense, modeling anomalous values explicitly and with a very simple IMA(1,1) model that is almost a random walk.
Number of Pages in PDF File: 26
Keywords: time series analysis, volatility index, forecasting
JEL Classification: C32, G13, G15working papers series
Date posted: July 16, 2009
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo1 in 0.531 seconds