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Estimating volatility-of-volatility: A comparative analysis

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  • Yuan, Jianglei
  • Liu, Dehong
  • Chen, Carl R.
  • Ma, Mingye

Abstract

This paper compares four volatility-of-volatility estimates with the CBOE’s VVIX index for prediction accuracy. Hybrid estimates, combining historical and model-based components, show closer alignment with VVIX. Practical limitations are briefly noted.

Suggested Citation

  • Yuan, Jianglei & Liu, Dehong & Chen, Carl R. & Ma, Mingye, 2025. "Estimating volatility-of-volatility: A comparative analysis," Economics Letters, Elsevier, vol. 250(C).
    • Handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001351
    DOI: 10.1016/j.econlet.2025.112298
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    References listed on IDEAS

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    1. Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
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