Work

Estimating volatility-of-volatility: A comparative analysis

Year: 2025

Type: article

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. • Compares four volatility-of-volatility (VV) estimates with CBOE’s VVIX. • Uses MAE and copula to compare VV estimates accuracy. • Moving average (MIVV) of Baltussen et al. (2018) shows the strongest alignment with VVIX. • Discusses VV estimates applied to stocks with sparse strikes.

Source: Economics Letters

DOI: 10.1016/j.econlet.2025.112298

Authors: Jianglei Yuan, Dehong Liu, Carl R. Chen, Mingye Ma

Institutions: Beijing Jiaotong University, University of Dayton, University of Southampton

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,030

OpenAlex ID: W4408954851

FWCI:

Cites: 13

Cited by:

Related to: 10