In order to provide a benchmark of expected short-term market volatility, the Chicago Board Options Exchange (CBOE) introduced the VIX Index in 1993 (Whaley 2008). According to some researchers such as Nwogugu (2012), however, the VIX is not only inaccurate and inefficient, but it is also based on an incorrect and misleading formula of computation consequently resulting in a biased VIX level. Other scientists indicate that volatility predictability in general may be scrutinized, because it is highly dependent on factors such as, for instance, the data frequency and the chosen forecasting horizon and hence decays quickly with an increasing time frame (Christoffersen and Diebold 2000).
To date, much has been studied on the correlation between the SPX (Standard & Poor’s 500 Index) and the VIX Index and has been well documented in academic journals. There has also been a great deal of research focusing on the analysis of the VIX and its derivative products, but regarding the causation of the SPX and the VIX Index and the related opportunity of index forecastability, a very limited amount of research has been carried out. In other words, there are many open questions concerning the controversies within research regarding the critical analysis of the VIX Index, volatility forecasting and the causation of the SPX and/or the VIX Index.
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