Implied and Realized Volatility: A Study of the Ratio Distribution. (arXiv:1810.07735v1 [q-fin.ST])

We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following month. We show that the ratio of the two is best fitted by a Beta Prime distribution, whose shape parameters depend strongly on which of the two months is used.