
doi: 10.2139/ssrn.2676400
Volatility is a concern of many investors. In turbulent financial times there can be a flight from the equity market to treasury bonds in order to provide greater security, liquidity and guarantee of returns. Calculated as a weighted average of put and call options on the SP across models the change in VIX was predictive of the change in treasury. The model examination determined that in the model that included the autoregressive and moving average provided the most accurate results.
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