EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176525001351
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001351

DOI: 10.1016/j.econlet.2025.112298

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-04-30
Handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001351