2024 · Personal · Academic
VIX and Precious Metals Futures
An econometrics paper on how equity-market volatility relates to precious metals futures — written because I wanted a careful answer, not a casual take.
Context
I wanted a clean empirical look at how equity-market volatility relates to precious metals futures — a question that sits where macro risk meets commodity pricing. The informal stories about the relationship were interesting; I wanted to test them properly.
Problem
The link between the CBOE Volatility Index and precious metals futures is often discussed casually. I needed a structured multivariate test on historical data, with diagnostics honest enough to show where the model holds and where it doesn’t.
Approach
I pulled market data from FactSet and ran multivariate regression and diagnostic tests in Stata, examining VIX variables against precious metals futures prices. The slow parts — cleaning, checking assumptions, reading residuals — were where most of the learning happened.
Result
A completed econometrics paper documenting the estimated relationships and diagnostic results. I’m glad I sat with the uncertainty instead of forcing a neater story than the data supported.