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Intraday forecasts of volatility index: functional time series methods with dynamic updating

Shang, Han Lin; Yang, Yang; Kearney, Fearghal

Description

As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce 1-dayahead forecasts of these curves. The proposed method facilitates the...[Show more]

CollectionsANU Research Publications
Date published: 2018-12-07
Type: Journal article
URI: http://hdl.handle.net/1885/177002
Source: Annals of Operations Research
DOI: 10.1007/s10479-018-3108-4

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