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dc.contributor.authorCary, Dayne
dc.contributor.authorVan Vuuren, Gary
dc.date.accessioned2019-08-16T12:47:37Z
dc.date.available2019-08-16T12:47:37Z
dc.date.issued2019
dc.identifier.citationCary, D. & Van Vuuren, G. 2019. Replicating the CBOE VIX using a synthetic volatility index trading algorithm. Cogent economics & finance, 7(1): Article no 1641063. [https://doi.org/10.1080/23322039.2019.1641063]en_US
dc.identifier.issn2332-2039 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/33221
dc.identifier.urihttps://www.cogentoa.com/article/10.1080/23322039.2019.1641063.pdf
dc.identifier.urihttps://doi.org/10.1080/23322039.2019.1641063
dc.description.abstractThis article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an undeveloped trading strategy to gauge its forecasting accuracy. The SVIX aims to address the scaling limitations of the CBOE VIX. The SVIX allows traders to graph volatility as a 100% scale on securities that do not have an official CBOE VIX ticker symbol. The SVIX shows high correlation with the CBOE VIX. Backtesting indicators with an investment strategy using US stocks proved successful. The winning percentage of trades and net profit are positive only for long strategies and fail in short strategiesen_US
dc.language.isoenen_US
dc.publisherTaylor & Francisen_US
dc.subjectVolatility indexen_US
dc.subjectVIXen_US
dc.subjectCorrelationen_US
dc.subjectTrading strategyen_US
dc.titleReplicating the CBOE VIX using a synthetic volatility index trading algorithmen_US
dc.typeArticleen_US
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne


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