Risk and Uncertainty before the Open

VIX jumped on Friday; the Economic Policy Uncertainty index rose on Saturday.

Figure 1: VIX (blue, left scale), Economic Policy Uncertainty index (thin pink, right scale), 7 day centered moving average (bold pink, right scale). Source: CBOE via FRED, policyuncertainty.com accessed 2/13/2022, and author’s calculations. 

The VIX and the EPU don’t move together that much (R-squared of about 0.4 over the past 6 years).