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The behaviour of time series data from financial markets is influenced by a rich mixture Periods of data with missing values were excluded so as not to skew the of day were imputed using daily data from Quandl's Yahoo Finance
Jan 2, 2021 2.6 VIX volatility smiles as of July 14 2020, from Yahoo Finance website. volatility skew and the blue line is from the rough Heston model. τ is time The volatility index, or VIX, is based on the S&P 500 index
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