VIX index in interday and intraday volatility models

Stavros Degiannakis; Christos Floros

doi:10.1002/9780470688014

VIX index in interday and intraday volatility models

Stavros Degiannakis, Christos Floros

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	21-26
Number of pages	6
Journal	Journal of Money, Investment and Banking
Issue number	13
DOIs	https://doi.org/10.1002/9780470688014
Publication status	Published - 2010

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title = "VIX index in interday and intraday volatility models",

abstract = "ARCH models for the daily S&P500 log-returns are estimated, whereas the intraday prices comprise the dataset for an ARFIMAX model. Model{\textquoteright}s forecasting performance is statistically superior when the CBOE{\textquoteright}s VIX index is incorporated as an explanatory variable.",

author = "Stavros Degiannakis and Christos Floros",

year = "2010",

doi = "10.1002/9780470688014",

language = "English",

pages = "21--26",

journal = "Journal of Money, Investment and Banking",

issn = "1450-288X",

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AU - Degiannakis, Stavros

AU - Floros, Christos

PY - 2010

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AB - 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.

U2 - 10.1002/9780470688014

DO - 10.1002/9780470688014

M3 - Article

SN - 1450-288X

SP - 21

EP - 26

JO - Journal of Money, Investment and Banking

JF - Journal of Money, Investment and Banking

IS - 13

ER -

VIX index in interday and intraday volatility models

Abstract

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