Intraday forecasts of volatility index: functional time series methods with dynamic updating
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]
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|Source:||Annals of Operations Research|
|02_Shang_Intraday_forecasts_of_2018.pdf||2.41 MB||Adobe PDF||Request a copy|
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