Yuan, Jianglei, Liu, Dehong, Chen, Carl R. and Ma, Mingye (2025) Estimating volatility-of-volatility: a comparative analysis. Economics Letters, 250, [112298]. (doi:10.1016/j.econlet.2025.112298).
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Article
Abstract
This paper compares four volatility-of-volatility estimates with the CBOE’s VVIX index for prediction accuracy. Hybrid estimates, combining historical and model-based components, show closer alignment with VVIX. Practical limitations are briefly noted.
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Accepted/In Press date: 19 March 2025
e-pub ahead of print date: 28 March 2025
Published date: 31 March 2025
Keywords:
Prediction, VVIX index, Volatility-of-volatility
Identifiers
Local EPrints ID: 503553
URI: http://eprints.soton.ac.uk/id/eprint/503553
ISSN: 0165-1765
PURE UUID: b5d8c5a5-4a5c-48ce-8e68-3a26e0fd5dc2
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Date deposited: 05 Aug 2025 16:38
Last modified: 21 Aug 2025 05:16
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Contributors
Author:
Jianglei Yuan
Author:
Dehong Liu
Author:
Carl R. Chen
Author:
Mingye Ma
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