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http://ssrn.com/abstract=1435020
 
 

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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


Abstract:     
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, G15

working papers series


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Date posted: July 16, 2009  

Suggested Citation

Gonzalez-Perez, Maria T. and Guerrero, David E. and Treadway, Arthur B., The Daily Closing VIX Data for 2008 Reveal Unrecognized Properties (July 1, 2009). Available at SSRN: http://ssrn.com/abstract=1435020 or http://dx.doi.org/10.2139/ssrn.1435020

Contact Information

Maria T. Gonzalez-Perez (Contact Author)
Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF) ( email )
Serrano Anguita 9
Madrid, Madrid 28004
Spain
+34 914 48 08 92 (Phone)
+34 915 93 31 11 (Fax)
David E. Guerrero
Universidad Complutense de Madrid (UCM) - Colegio Universitario de Estudios Financieros (CUNEF) ( email )
Serrano Anguita 9
Madrid, Madrid 28004
Spain
Arthur B. Treadway
affiliation not provided to SSRN ( email )
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