VIX Forecasting
An ARIMA-GARCH model is developed to forecast changes in the VIX, achieving a direction prediction accuracy of 56.01% but struggles to replicate extreme VIX spikes.
Featured in No. 84 on 5 Feb 2025 · 14 days after release
- Released
- 22 Jan 2025
- First featured
- No. 84 · 5 Feb 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 31
- Identifier
- SSRN 5106657
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