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).
