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What is VIX Index Forecasting Models Analysis about?

This paper estimates time-series models to predict the VIX index, an implied volatility index calculated from S&P 500 option prices. The paper finds that an ARIMA(1,1,1) model has some success in predicting the direction of change in the VIX, and that augmenting it with a GARCH(1,1) specification improves both directional and value forecasts. However, adding financial or macroeconomic variables does not further improve the forecasts. An out-of-sample options trading simulation provides support for the predi

Author

Loulou DePanam

Language

EN