The Relationship Between the Volatility of the S&P 500 and CBOE Volatility Index (VIX)

• DOI: 10.46609/ijsser.2024.v09i09.039
• Publication Date: 2024-10-07T12:31:47Z
• Authors: Jainam Shah
• Keywords: Variance swap

This study investigates the bidirectional Granger causation between CBOE Volatility Index (VIX) and volatility of S&P 500 utilizing data obtained from Yahoo Finance. The GARCH (1,1) model is employed for estimation conditional volatility. employs Causality Tests to determine whether can be forecasted by VIX vice versa. results show significant causality, indicating that 500's historical may accurately predicted each other. contributes a better understanding dynamic relationship Index.