How the market works - VIX and su
Does the VIX Index contperformance?
To answer the question we analyzevarious time intervals since 1990. If would expect to see a scatter cloud
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bsequent performance - January 22, 2013
ain any information about future
d daily data for the VIX Index and the S&P 500 Indethe VIX and future stock market performance werresembling a Brownian (or random) motion:Looking at performance one month afterwe observe a scatter cloud resembling aR-squared is basically zero, indicating nobetween a certain VIX level and future p Page 3
x, looking atunrelated, youthe VIX reading,Brownian motion.correlationrformance: