Professor K.Victor Chow from the college of Business and Economics, West Virginia University delivered a speech on the topic of “Does VIX Truly Measure Return Volatility” at CER on Nov. 3, 2014.

Professor Chow demonstrated the VIX does not measure market expectation of volatility but that of a linear moment-combination. Particularly, VIX undervalues（overvalues）volatility when market return is expected to be negativity（positively）skewed. Alternatively, Professor Chow developed a model-free GVIX. With no diffusion assumption, GVIX is formulated directly from the definition of log-return Variance. Finally, Professor Chow pointed out the GVIX has great prospects on market.