Author(s)

Lin Zhu

Corresponding Author

Lin Zhu

Abstract

VIX Index is computed on a real-time basis through every working days (Whaley 2009). It was also called “investor fear gauge”, since we can use it to judge the level of investors’ expectation and fear. The VIX can also help investors forecast the market trend, and adjust technical analysis and trading strategy, since it can reflect the fluctuation of the S&P 500 (SPX) index. This paper will study the stylized facts of VIX and then using heterogeneous autoregressions (HAR) model for modeling with VIX data.

Keywords

VIX, Stylized facts, HAR model