Study 7: VIX Movements & Local Tops
How reliably can moves in the fear index identify short-term peaks?
This study explores whether recent movements in the CBOE Volatility Index are a useful indicator for determining the odds of a local top taking place in various markets. We’ll use daily data from January 2004 to January 2022, focusing on a basket of liquid ETFs that track various macro themes like large-caps, value, emerging markets, and high-yield bond…