Kim, Alisa; Trimborn, Simon; Härdle, Wolfgang Karl - 2019
market for crypto- currencies. Following the intuition of the "fear index" VIX for the American stock market, the VCRIX … volatility index was created to capture the investor expectations about the crypto-currency ecosystem. VCRIX is built based on … correlation of 78% between the actual VIX and VIX estimated with the VCRIX model). VCRIX provides forecasting functionality and …
