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Implied and Realized Volatility: A Study of the Ratio Distribution

Published 17 Oct 2018 in q-fin.ST and q-fin.MF | (1810.07735v1)

Abstract: We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following month. We show that the ratio of the two is best fitted by a Beta Prime distribution, whose shape parameters depend strongly on which of the two months is used.

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