VIX Fails to Give You a Pony
If the VIX could talk, right now it’d be saying, “The reports of my death have been greatly exaggerated.” The titular claim of a recent Bloomberg article, “VIX Fails to Forecast S&P 500 Drop,” only makes sense in a world where nothing occurs beyond one standard deviation of predicted outcomes. The fact that the October decline was more than one standard deviation from the mean as predicted by the VIX is just another way of saying that the October decline was the…
Monday, December 22, 2008
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