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Investing in VIX futures based on rolling GARCH models forecasts

Oleh Bilyk, Paweł Sakowskia, Robert Ślepaczuka
Year of publication:
2020
Authors: Bilyk, Oleh ; Sakowskia, Paweł ; Ślepaczuka, Robert
Publisher: Warsaw : University of Warsaw, Faculty of Economic Sciences
Subject: GARCH | VIX index | volatility futures | rolling forecasting | volatility | investment strategies | volatility exposure | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Index-Futures | Index futures | Aktienindex | Stock index
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