VIX index in interday and intraday volatility models

Stavros Degiannakis, Christos Floros

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)21-26
Number of pages6
JournalJournal of Money, Investment and Banking
Issue number13
Publication statusPublished - 2010


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