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is there a method to forecast vix jumps?

Zhechao

Joined
3/14/08
Messages
4
Points
13
I am working on a project on VIX and VXX. It seems VXX is going down most of the time, except some spikes when the current VIX has a spike.

I looked at some literature and know the spikes (big jumps) of VIX follows a poisson process. Is there a method (time series or other) that I can use to forecast the timing of future VIX jumps?
 
If it's a poisson process then by definition you can't predict.

So the first part of your project would be to find out if they really are poisson, and I'd be looking at a power spectrum analysis of the size of jumps, and your filtering should be adaptive on what delta corresponds to a "jump" and what is a "normal movement".

It would be interesting to model the interval between gaps and their interval.
 
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