Prasad, Akhilesh; Bakhshi, Priti - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-26
Movements in the India VIX are an important gauge of how the market’s risk perception shifts from day to day. This research attempts to forecast movements one day ahead of the India VIX using logistic regression and 11 ensemble learning classifiers. The period of study is from April 2009 to...