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?
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?