Estimating volatility-of-volatility: A comparative analysis

This paper compares four volatility-of-volatility estimates with the CBOE’s VVIX index for prediction accuracy. Hybrid estimates, combining historical and model-based components, show closer alignment with VVIX. Practical limitations are briefly noted. • Compares four volatility-of-volatility (VV) estimates with CBOE’s VVIX. • Uses MAE and copula to compare VV estimates accuracy. • Moving average (MIVV) of Baltussen et al. (2018) shows the strongest alignment with VVIX. • Discusses VV estimates applied to stocks with sparse strikes.