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
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.
