VIX index in interday and intraday volatility models
Research output: Contribution to journal › Article › peer-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.
|Number of pages||6|
|Journal||Journal of Money, Investment and Banking|
|Publication status||Published - 2010|