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Re: GEN: Help with Modified VIX

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Is this what you are looking for?  The 100*33*2 is just a scale factor for
plotting purposes.  Let me know if you still need the article faxed.


At 11:17 AM 12/23/97 -0600, Lionel Issen wrote:
>I went to the Equis web site, I could not find any indicator with the name
>VIX. What is the full name of this indicator, and what do the lettes VIX
>At 10:14 AM 12/23/97 -0500, Gitanshu Buch wrote: 
>>I'm trying to understand how to interpret Modified VIX numerically, since
>>I don't have access to the TASC April 1995 article. The formula I have
>>from the Metastock website is as follows:
>>(((P - Mov(P,15,E))/Mov(P,15,E))*(100*33*2))*(Sqrt(252)/Sqrt(15)/C)
>>This implies the foll:
>>1. Difference between today's VIX indicator value and 15 period
>>exponential moving average of VIX is divided by the 15 period EMA of the
>>2. The quotient is multiplied by 100 (probably a percentage function),
>>then by 33 (what would this be? and by 2 (again, what would this be?)
>>3. Sqrt 252 and Sqrt 15 are calculations for deviations around mean
>>values of VIX and the 15 period EMA; these are divided by today's closing
>>value of OEX.
>>2 is multiplied by 3.
>>I would appreciate if someone could help out here, either email a
>>clarification or fax the article @ 212-594-1913.
>>Thanks a lot!
>>Gitanshu Buch
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