VIX Index in Interday and Intraday Volatility Models

Degiannakis, Stavros and Floros, Christos (2010): VIX Index in Interday and Intraday Volatility Models. Published in: Journal of Money, Investment and Banking No. 13 (2010): pp. 21-26.

Abstract

ARCH models for the daily S&P500 log-returns are estimated, whereas the intraday prices comprise the dataset for an ARFIMAX model. Model’s forecasting performance is statistically superior when the CBOE’s VIX index is incorporated as an explanatory variable.

• Item Type: MPRA Paper
• Language: English
• Keywords: ARFIMAX, HYGARCH, VIX Index, Volatility Forecasting
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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