Forums  > Pricing & Modelling  > Current value of VIX risk premium? Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities  
     
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stochastix


Total Posts: 7
Joined: Oct 2020
 
Posted: 2020-10-20 14:42
https://www.federalreserve.gov/pubs/feds/2004/200456/200456pap.pdf

is there anyone who calculates and publishes current values for VIX?

kloc


Total Posts: 40
Joined: May 2017
 
Posted: 2020-10-20 14:47
Just go to CBOE:

http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-index/vix-historical-data

stochastix


Total Posts: 7
Joined: Oct 2020
 
Posted: 2020-10-20 14:51
I see the VIX historical data but am I missing something? I dont see where they publish the risk premium. its usually estimated from the data

kloc


Total Posts: 40
Joined: May 2017
 
Posted: 2020-10-20 20:48
Are you asking for VVIX ("VIX of VIX")?

You should be able to find some rough EOD data on the usual sites (yahoo finance or investing.com):

https://m.investing.com/indices/cboe-vix-volatility

https://finance.yahoo.com/quote/%5EVVIX

stochastix


Total Posts: 7
Joined: Oct 2020
 
Posted: 2020-10-20 21:08
No I am not asking for VVIX. This paper, they use V(t) and calculate the realized volatiltiy emperically.. I can either do that, or use a model and calibrate it to VIX option prices.. just wondering if anyone does this and regularly publishes the value.

I am asking for the volatility risk premium, it is an unobservable factor which must be estimated from data



kloc


Total Posts: 40
Joined: May 2017
 
Posted: 2020-10-21 06:38
It's still somewhat unclear to me what it is that you're exactly after: risk premium for SPX or risk premium for VIX/SPX volatility...

Regardless, I doubt anybody calculates something as vaguely defined as risk premium and publishes the numbers online. It is like kimchi: no two recipes are alike, the only common thing is the pungent flavor of fermented cabbage, garlic, and chillies. You can love it (I love kimchi) or hate it (generally, I don't find risk premia very applicable in practice).

Regardless, you probably don't have to use full options markets for whatever it is what you're trying to do: VIX or VVIX data should be more than good enough inputs as proxies for options. Otherwise, you'll have to define and compute a different risk premium for every tenor and strike combination.
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