VIX Index in Interday and Intraday Volatility Models

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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Year of publication:	2010
Authors:	Degiannakis, Stavros ; Floros, Christos

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Type of publication:	Book / Working Paper
Language:	English
Notes:	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.
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets
Source:	BASE

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