Update To VXX Spike Risk Forecast Algorithm

Today we made an update to our algorithm for the VXX Spike Risk forecast. The change is designed to refine the forecasts to provide increased accuracy.

The forecasts now estimate the probability of a spike in VXX of 7% or more (previously 8% or more) for the next 2 days (previously 3 days). The changes results in:
  • An overall lower spike probability for most days (due to the shorter prediction period)
  • An increased spike probability when spike conditions are present (due to a lower spike definition threshold)

See below for before and after graphs of the forecasted results over the past 6 months.

No changes were made to any of the Bias forecast calculations.

Before changes:

After changes [updated 9/18/13]:

. . . . . . . . . . . . . .

Stay up to date by having posts sent directly to your RSS feed or Email.