Here Is Why You Shouldn’t Forecast The VIX For A VXX Trading Strategy – A Backtest On Volatility Forecasting Models

Figure 1: overview of our backtesting results (basis: 1)
This is the first article of the article series where we (Andrii and I) will give you our take on how you can, how you should and how you shouldnt trade volatility. In our series we plan to cover a range of volatility forecasting models (Historical Volatility/ARMA/GARCH), different optimization methods for them (SR/OLS/ML) as well as answer other volatility trading related questions. This article gives an introduction to volatility tradin…

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