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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