VIX Futures data is attached Excel file is required Volatility and Options When

VIX Futures data is attached
Excel file is required
Volatility and Options
When the bond-arbitrage strategy dried
up, one of the strategies LTCM employed was volatility arbitrage. Let us
examine how profitable this is, with a twist. Calculate the GARCH (1,1)
volatility of the S&P 500 from 2005 through 2021. Calculate the daily differences
between this series and the VIX index (VIX-GARCH) (make sure to divide VIX by
100). Now calculate VIX front month futures overlapping returns (approx. 22- trading
day) for each day in the sample (Each day will have a return of (Dayt+22- Dayt)/Dayt).
(Don’t worry abut the roll…you can thank me later)
Form
5-volatility difference baskets (highest to lowest) and report the average return
and standard deviation for the VIX front month futures for each basket. Use
the first three years to establish the breakpoints for the baskets, then update
them daily with each new observation.