The CBOE Volatility Index (VIX) as a Predictor of S&P 500 Volatility and Returns
Open Access
Author:
Gillooly, Sean Ryan
Area of Honors:
Finance
Degree:
Bachelor of Science
Document Type:
Thesis
Thesis Supervisors:
James Alan Miles, Thesis Supervisor James Alan Miles, Thesis Honors Advisor Dr. Joseph Randall Woolridge, Faculty Reader
Keywords:
VIX CBOE Volatility S&P 500
Abstract:
In this thesis, the relationship between the CBOE Volatility Index (VIX) and the S&P 500, the barometer for the stock market, from which the VIX is derived, is explored. As periods of stock market crashes such as the .com bubble or Financial Crisis have shown, rising volatility and falling stock prices are the norm. With this basic relationship in mind, this thesis looks to analyze how effective the VIX is in forecasting expected volatility of the S&P 500 in addition to assessing the relationship between the VIX and returns on the S&P 500.