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I have been working on an idea to forecast the short term movement in the
OEX by measuring the Auto (Cross) correlation of the OEX and the VIX. I
am looking for a lead/lag of one index to the other with a high
correlation coefficient.
Currently the VIX is leading the OEX by 14 days (a 24 day lead is also
present but less prevalent). I have attached a copy of what this looked
like on 3/10 and one for today (3/17). This is done in Excel using the
offset function to find the lead/lag correlation. The two data series are
shifted in time (forward or back) to find a high correlation coefficient.
It takes a little bit of experimenting to get it to fit. You sometimes
get more then one good fit. Then it is up to you to decide if other
factors are confirming one fit over another.
Ron McEwan
Attachment Converted: "f:\eudora\attach\4cast_3-10.gif"
Attachment Converted: "f:\eudora\attach\4cast_3-17.gif"
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