Forecasting VIX Spikes
May 3, 2017 - Volatility Effects
Is there a reliable way to forecast spikes in U.S. stock market expected volatility, as measured by the CBOE Volatility Index (VIX), and thereby avoid or exploit associated market declines? In his April 2017 paper entitled “Forecasting a Volatility Tsunami”, Andrew Thrasher examines several calm-before-the-storm signals for predicting spikes in VIX, which he defines as a 30%… Keep Reading