Daily Archives: February 18, 2011

Relationship Between VIX and Weekly Standard Deviation of Dow 30

By Hui Zhong Denote Vix = V, Price of Dow 30 = P, Weekly Standard Deviation of Dow 30 = D Then D/P x 1.1 x (52)1/2 =(2)1/2 V/100 where 1.1 = $VIX / $VXD So: D = 0.00197 PV/1.1 = 0.00179PV … Continue reading

Posted in Economic & Financial Modelling | Tagged , | Leave a comment