Munich Personal RePEc Archive

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.

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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.

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