qrmdata (version 2022-05-31-1)

volatility: Volatility Index

Description

Chicago Board Options Exchange (CBOE) volatility index (VIX) data.

Usage

data("VIX")

Format

An xts object containing the volatility index (VIX; ticker symbol ``^VIX'') from its first date of availablility to 2015-12-31.

Author

Marius Hofert

Details

The VIX is typically used as a market-based measure of volatility in percent; see the white paper https://cdn.cboe.com/resources/vix/vixwhite.pdf on how the VIX is constructed.

Examples

data("VIX")