This study demonstrates how the volatility index （VIX） can help predict the returns for sequential trading days. Using a logit function and previous VIX information, we present an initial attempt to estimate the pro...This study demonstrates how the volatility index （VIX） can help predict the returns for sequential trading days. Using a logit function and previous VIX information, we present an initial attempt to estimate the probability of a positive market return. The estimation procedure is applied to recent data on the S＆P500 and to the 10-year U.S. Treasury Bonds yields. Our findings indicate that such a relationship does exist and is significant, especially for the bond market. We also ran an investment simulation using different VIX scores and found that from 2004 to June 2009, VIX=18 was the score that yielded the highest.展开更多
The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style ...The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style measure that is a proxy for uncertainty about future interest rates,is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term.Using monthly data from 2003 to 2020,we document that higher implied volatility in the 10-year U.S.Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices.Our results are robust to different subsamples and various empirical designs.展开更多
文摘This study demonstrates how the volatility index （VIX） can help predict the returns for sequential trading days. Using a logit function and previous VIX information, we present an initial attempt to estimate the probability of a positive market return. The estimation procedure is applied to recent data on the S＆P500 and to the 10-year U.S. Treasury Bonds yields. Our findings indicate that such a relationship does exist and is significant, especially for the bond market. We also ran an investment simulation using different VIX scores and found that from 2004 to June 2009, VIX=18 was the score that yielded the highest.
文摘The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style measure that is a proxy for uncertainty about future interest rates,is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term.Using monthly data from 2003 to 2020,we document that higher implied volatility in the 10-year U.S.Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices.Our results are robust to different subsamples and various empirical designs.
