MODELLING INTRADAY REALIZED VOLATILITY: THE ROLE OF VIX, OIL AND GOLD

Avraham Turgeman (), Claudiu Botoc (), Marilen Pirtea () and Octavian Jude ()
Additional contact information
Avraham Turgeman: West University of Timisoara
Claudiu Botoc: West University of Timisoara
Marilen Pirtea: West University of Timisoara
Octavian Jude: West University of Timisoara

No 14115804, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: The main aim of the paper is to test an autoregressive implied volatility (IV) model that can significantly predict realized volatility (RV) of stock index. Subsequently, we want to test the predictive power of products that are external to the index of interest (S&P), by including certain commodities that are derived from VIX, i.e., crude oil and gold. The results do not reject the memory effect, given the predictive power of several lags for VIX over realized volatility. Furthermore, crude oil volatility is a significant predictor, alternatively in realized volatility and implied volatility. Finally, gold implied volatility (with higher lags) predicts stock returns volatility, which suggests a gap since traders tend to start gaining gold earlier to be on the safe side. Our findings have certain implications for trading and risk estimation.

Keywords: Implied volatility; Realized volatility; AR model; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 G17 (search for similar items in EconPapers)
Pages: 19 pages
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Proceedings of the Proceedings of the International Conference on Economics, Finance & Business, Prague, Nov -0001, pages 280-298

Downloads: (external link)
https://iises.net/proceedings/international-confer ... 41&iid=021&rid=15804 First version, 0000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:14115804

Access Statistics for this paper

More papers in Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().