SPY, VIX, S&P500 Historical Volatility 20 Days
@kaggle.angevalli_spy_vix_s_and_p500_historical_volatility_20_days
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Prediction of SPY returns based on historical data
Dataset Description
The dataset consists in data concerning S&P500 index. There are daily closing prices for SPY and VIX : SPY is the S&P500 ETF and VIX is a measure of the implied volatility of S&P500. The column 'sp20vol' is a measure of the historical volatility of SPY.
The goal of the prediction is to forecast SPY returns over several time horizons.
