Historical Volatility Rolling Indexes: 2004 — 2014

If your interests are related to the simulation / backtest of volatility exchange-traded products like VXX and XIV, then you should review the products I have listed here.   While the indexes discussed in this post can be used to compute the prices of the volatility ETPs it is not an entirely straightforward process. I have generated both the Excess Return (ER) and Total Returns …

Read moreHistorical Volatility Rolling Indexes: 2004 — 2014