With the VIX in the 40’s this week, I elected to write about how difficult it is to forecast volatility. In The Perils of Predicting Volatility, I talk about how the VIX typically underestimates large volatility spikes and overestimates the extent to which volatility will remain high following a VIX spike.
The Barron’s article integrates many of the ideas I have been blogging about for the past few years, some of which are included in the links below.
For those who may be interested, the last time I contributed to Barron’s was with Take a Longer View on Volatility – a subject that I think is quite timely today, given the recent volatility surge.
For more on related subjects, readers are encouraged to check out:
- VIX Term Structure and VIX Forecasts
- Availability Bias and Disaster Imprinting
- How to Trade the VIX
- Short-Term and Long-Term Implications of the 30% VIX Spike
- A Conceptual Framework for Volatility Events
- Forces Acting on the VIX
Disclosure(s): short VIX at time of writing