backtesting volatility | Six Figure Investing

Historical Volatility Rolling Indexes: 2004 — 2014

May 14, 2023December 4, 2011 by Vance Harwood

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 …

Backtesting data for volatility ETN and ETF products

September 14, 2018February 12, 2011 by

If you want to backtest various volatility products like VXX, VXZ, XIV, CVOL, IVOP (see volatility tickers for my complete list) I offer a set of spreadsheets that give the underlying rolling index values from March 2004. See this post for details. Bloomberg offers charts that go back 5 years for the related indexes. My thanks to “~” from Volatility Futures and Options for …