The research papers of Professor Jae, Jiang,, (Can you really measure the fluctuation of income? ), they proved theoretically and empirically that the volatility index (VIX) of Chicago Board Options Exchange (CBOE) significantly underestimated the actual volatility of the market under the general conditions without assumptions. In particular, the greater the market volatility, the more serious the underestimation. This has a negative impact on investors who buy VIX financial products.

Through rigorous mathematical deduction, Professor Zhou and others confirmed that the original cause of deviation is the third-order dynamic difference, because it is actually a linear combination of different kinds of moments, rather than a simple fluctuation coefficient. When the systemic risk increases, investors who are bearish on the stock market increase, and the third-order dynamic difference is negative. In other words, the greater the volatility of the stock market, the higher the negative value of the third-order dynamic difference. Affected by this negative value, VIX therefore underestimated the actual market fluctuations.

In order to solve the serious shortage of the formula, Professor Zhou and others put forward the generalized volatility index (GVIX) formula. GVIX is directly derived from the definition of fluctuation coefficient, and there are no assumptions. Like VIX, GVIX is a forward-looking index, but it is not affected by any high-order dynamic differences. Therefore, GVIX can fully express the real fluctuation of the market. GVIX index commodities (such as futures, options or ETFs) can provide investors with more accurate hedging tools.