vix spx 同时下跌的历史统计

xiaobailong

原帖由 天真的冷酷 于 2008-12-18 18:35 发表 问一个问题：SPXChange是指 the difference between open and close in the same day?

跟前一天的收盘比较吧

天真的冷酷

I downloaded the historical data, but still could not figure out how these SPXChange data generated out?

 

SPX							VIX
Date	Open	High	Low	Close	Volume		Open	High	Low	Close
7/18/2002	905.45	907.8	880.6	881.56	1736300000	-2.78	35.12	35.12	35.12
12/19/2000	1322.96	1346.44	1305.2	1305.6	1324900000	-1.31	27.17	27.17	27.17
2/12/1993	447.66	447.7	444.58	444.58	216810000	-0.69	13.43	13.43	13.43

zzhappy

ChangeGSPC = (C - Ref(C,-1))/Ref(C,-1)*100;
NextDayGSPC = (Ref(C,1) - C)/Ref(C,1) * 100;
NextWeekGSPC = (Ref(C,5) - C)/Ref(C,1) * 100;
NextMonthGSPC = (Ref(C,20) - C)/C * 100;

it was looking at the % changes compared to previous day close.

Brainteaser

这么看. 从后面week 和monthly 看反而不是坏事啊. up up

stockhq

ding

qiangge

发财小胖

no edge~~

biorjin

read my reply

no edge~~
发财小胖 发表于 2009-3-24 21:32

ppteam

顶上来

牛熊

:lol

happy_trading

ding