Estimating volatility-of-volatility: A comparative analysis

Jianglei Yuan, Dehong Liu, Carl R. Chen and Mingye Ma

Economics Letters, 2025, vol. 250, issue C

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.

Keywords: Volatility-of-volatility; VVIX index; Prediction (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001351

DOI: 10.1016/j.econlet.2025.112298

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