Implied and Realized Volatility: A Study of the Ratio Distribution
arXiv:1810.07735 · doi:10.11114/aef.v6i5.4416
Abstract
We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following month. We show that the ratio of the two is best fitted by a Beta Prime distribution, whose shape parameters depend strongly on which of the two months is used.
arXiv comment9 pages, 10 figures, 9 tables
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