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  1. The asymmetric relationship between volatility index and volatility-of-volatility index

    The asymmetric relationship between volatility index and volatility-of-volatility index

    Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adian McFarlane --- , Ontario Canada Anupam Das --- , Canada Young Cheol Jung --- , Canada
    We use the nonlinear autoregressive distributed lag model to assess the asymmetric relationship between the Chicago Board Options Exchange’s volatility index (VIX) and volatility-of-volatility index (VVIX) over the period January 2007 to March 2020. To control for potentially confounding factors,...
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