来嘛~抱一下嘛# Joke - 肚皮舞运动
k*l
1 楼
Worried about VIX spike? here is an excerpt from a financial research
paper.
Giot (2005) tests if high levels of VIX indicate oversold stock markets by
dividing the VIX price history into 21 equally spaced rolling percentiles
and examining the returns on the S&P 100 for various future holding
periods up to 60 days for each of these 21 percentiles. He finds that for
very high levels of VIX, future returns are always positive and for very
low levels of VIX, future returns are always negative. His
paper.
Giot (2005) tests if high levels of VIX indicate oversold stock markets by
dividing the VIX price history into 21 equally spaced rolling percentiles
and examining the returns on the S&P 100 for various future holding
periods up to 60 days for each of these 21 percentiles. He finds that for
very high levels of VIX, future returns are always positive and for very
low levels of VIX, future returns are always negative. His