Table 2.
Volatility indices used in this paper
| Symbol | Underlying | Time-range | Methodology | Data since |
|---|---|---|---|---|
| CVX | Bitcoin | 30-day | Model-free | 2020 |
| CVX76 | Bitcoin | 30-day | Black 76 | 2020 |
| VCRIX | CRIX | 30-day | HAR model | 2014 |
| VIX | S&P 500 | 30-day | Model-free | 1990 |
| RVX | Russell 2000 | 30-day | Model-free | 2004 |
| VVIX | VIX | 30-day | Model-free | 2006 |
| GVX | COMEX Gold futures | 30-day | Model-free | 2011 |
| EUVIX | EUR/USD FX | 30-day | Model-free | 2007 |
| TYVIX | 10-year Treasury Notes futures | 30-day | Model-free | 2007 |
| SRVIX | 10-year swap rate | 1-year | Model-free | 2012 |
VCRIX is calculated from return data, whereas all other indices are based on option price data
Siriopoulos and Fassas (2019) provide a more complete overview of volatility indices for traditional financial assets