Sunday, December 1, 2013

2013.11.29 VIX Model Chart

The VIX cycle model suggests VIX will be moving up into the end of 2013, and that this move initiates the beginning of an 18 month rise that peaks at 36.  The cycle model does not capture the shorter term volatility in the VIX.  Thus, as in the historical data of actual vs predicted, there will likely be "overshoots" in both directions, and the peak price prediction will likely also be an underestimate.

The previous VIX model from 2013.11.22 is shown below.


galt said...

new to site. very interesting. i have one question, i don't understand the divergence between the vix model chart for the end of 2013 and the djia model chart for the end of 2013. surely a correction the size of the one expressed in the djia chart would preclude a huge spike in the vix. the charts illustrate literally no inverse correlation, which i would expect given the size of the move. again, i am new and don't understand exactly how your models are generated but would love an explanation of either my incorrect assumption, or clarification of modeling. thank you, g

Paolo said...

galt, I myself don't understand divergences between the time series models, if by understand one means to assign a causality. I think I may have answered some of your questions here. If not, feel free to comment or contact me. Thanks for your interest, of course!