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- W2583374817 abstract "This paper investigates daily and intraday properties of the VIX and its predecessor the VXO. Sampling data at a one-minute frequency, we document that both the VIX and VXO display a negative drift intraday. While this finding is expected in the VXO, given its constant 30-day maturity at a daily frequency, it is surprising to observe the same pattern in the VIX, which maintains the constant maturity at a one-minute frequency. In addition, we document that the VIX has a distinct intraweek pattern, declining during the week and surging over the weekend. We further observe that there is intraday and intraweek variation in the relation between the VIX and the S&P500 (the leverage/feedback effect) which appears to be most negative during the middle of the trading day. Similarly, there is a U-shape pattern in this relation during the week, with the leverage effect being most negative in the middle of the week." @default.
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- W2583374817 date "2016-01-01" @default.
- W2583374817 modified "2023-10-05" @default.
- W2583374817 title "The Intraday Properties of the VIX and the VXO" @default.
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- W2583374817 doi "https://doi.org/10.2139/ssrn.2884455" @default.
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