September 21st, 2011, 8:25 pm
Thanks Dave, yeah another friend I just mailed said the same thing. Use natural logs..What confuses me is that if taking natural log is the right approach, what does regressing daily VIX returns on daily SPX returns tell? I am mathematically challenged (obviously) but this is what they teach at school; First find the daily returns, then regress returns on returns. Thanks again.