Estimating volatility-of-volatility: A comparative analysis
比较四种波动率之波动率估计与CBOE的VVIX指数的预测准确性，发现结合历史与模型成分的混合估计与VVIX更一致，并简要讨论实际应用限制。
This paper compares four volatility-of-volatility estimates with the CBOE’s VVIX index for prediction accuracy. Hybrid estimates, combining historical and model-based components, show closer alignment with VVIX. Practical limitations are briefly noted. • Compares four volatility-of-volatility (VV) estimates with CBOE’s VVIX. • Uses MAE and copula to compare VV estimates accuracy. • Moving average (MIVV) of Baltussen et al. (2018) shows the strongest alignment with VVIX. • Discusses VV estimates applied to stocks with sparse strikes.