The Fear of Fear in the US Stock Market: Changing Characteristics of the VVIX

Research output: Contribution to journalResearch articleContributedpeer-review


By analyzing the characteristics of Cboe's volatility-of-volatility (vol-of-vol) index (VVIX), this study reveals that most but not all stylized facts of volatility are also applicable to the vol-of-vol. The VVIX exhibits robust mean reversion, distinct jumps in both directions, an asymmetric relationship with the S&P500 index, weak day-of-the-week effect, and fast incorporation of new market information. Surprisingly, results indicate a significant upward trend in its level that stems partly from a higher variation of the VIX and a higher vol-of-vol risk premium. An increased and robust correlation with the VIX matches the evolution of the VIX options market till 2013.


Original languageEnglish
Article number103926
JournalFinance Research Letters
Publication statusPublished - Jul 2023

External IDs

unpaywall 10.1016/
Mendeley 7d473f32-3a06-357c-a3a7-246cde5623db
Scopus 85158144250
WOS 001019753100001


Research priority areas of TU Dresden

DFG Classification of Subject Areas according to Review Boards

Subject groups, research areas, subject areas according to Destatis

ASJC Scopus subject areas


  • Implied volatility, Stylized facts, VIX, VVIX, Volatility-of-volatility, Vix, Vvix

Library keywords