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Model Insight - Barra Equity Volatility Futures Model EVX1 - June 2011
Jun 15, 2011
In this paper, we present a daily factor model that forecasts daily volatility of variance for VIX Futures Contracts.
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Research authors
- Peter Shepard, Managing Director, MSCI Research
- Angelo Barbieri, Head of the Valuation Research Group
- Alexei Gladkevich
- Lisa Goldberg