Chair of Finance and Financial Technology presents Working Paper at the Cboe RMC 2023

Last week, Stefan Albers presented one of his current working papers at the Academic Roundtable of the Cboe Risk Management Conference 2023 in Austin, Texas. As the leading risk management conference, the Cboe RMC brings together international experts every year to exchange the latest insights, research findings, and practical applications related to risk management and enhancing yields. This year, the conference focused on new indices, the growing importance of 0DTE options, digital assets, and recent changes in strategic asset allocation.

In his working paper "A new star is born: does the VIX1D render common volatility forecasting models for the U.S. equity market obsolete?", Stefan Albers examines the properties and predictive power of the recently introduced VIX1D Index. He particularly demonstrates that the VIX1D significantly overestimates the realized volatility of the following day and introduces a very straightforward yet effective method to adjust the index. His preliminary research results suggest that the adjusted VIX1D not only simplifies volatility predictions for the US stock market but also produces more accurate forecasts. Given the high practical relevance of 1-day volatility predictions and the well-known spillover effects from the US market to other markets, these initial insights on the VIX1D are promising for practical applications and further research.

Stefan Albers' participation in the Cboe RMC was made possible through the financial support of the Dean's Office of Economics and Business Studies and the Chair of Business Administration, especially Finance and Financial Technology, for which Stefan Albers is very grateful. He also thanks the conference participants for valuable feedback, especially Prof. Torben Andersen and Henry Schwartz.