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Data Analysis & Reference Sheet

Data Analysis & Reference Sheet

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The space here includes all relevant data sheets shared in the statistics course.

Refer to the VIX Index population data sheet below.

VIX also known as volatility or fear index, is a 30 day forward looking volatility expectation of the market. S&P 500 index options are used to construct the VIX index.  The data can be freely downloaded from the internet. “VIX is calculated from the prices of a particular basket of S&P 500 options, whose value to their holders depends importantly on the future level of S&P 500 volatility” For options refer Fixed income module here

Consider this as the population data although this is not the full data for VIX index. However, for the purpose of exercise this will be the population data. In many instances, the full population data will not be available and that’s why sampling is used to estimate the true mean. Note in case of population, the standard deviation formula includes N and not N-1 in the denominator for calculating standard deviation. The sheet has 4194 data points of closing price of VIX index along with open, high and low values. Although VIX index possess a right tail and not a good example of normal distribution, the sheet is used here as example for  exploring examples.

Excellent reads on VIX below.

Statistical Distributions of the Volatility Index

A Practitioner’s Guide to Reading VIX S&P Global

The data sheet can be downloaded from Master_ Vix Data

The data sheet for Statistics & Impact Evaluation Module 3 Understanding inference_ThemiddleRoad


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