Measuring and trading volatility on the US stock market: A regime switching approach
Dapena, Serur and Siri (2018) study macro signals and regime strategies in volatility and options using a state-space model. The abstract mentions alpha, profits and t-statistics but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Along with the literature, we show evidence that VIX is generally above the 30-day rolling volatility giving rise to the volatility premium, so selling volatility can become a profitable trading strategy as long as proper risk management is under place.”
AssetVolatility and optionsbonds
StrategyMacro signalsvolatility risk premium
TechniqueState-space modellinear factor model
GeographyUS
Also stated: Alpha, Profit, t-statistic
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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