EconPapers    
Economics at your fingertips  
 

Forecasting of India VIX as a Measure of Sentiment

Arindam Banerjee
Additional contact information
Arindam Banerjee: Birla Institute of Management Technology, Greater Noida, India.

International Journal of Economics and Financial Issues, 2019, vol. 9, issue 3, 268-276

Abstract: The India VIX represents the sentiment of traders in the Indian market, so by forecasting the future value of India VIX, we get a feel for investor sentiment in future. The objective of this study is to fit a forecasting model on India VIX using auto regressive integrated moving average (ARIMA). The model would be useful in having a glimpse of investor mood in near future. This is probably the first of its kind study based on Indian market. The motivation of this study lies not only on the pervasive agreement that the VIX is a barograph of the general marketplace sentiment as to what concerns investors’ risk appetite, but also on the fact that there are many trading strategies that depend on the VIX index for speculative and hedging determinations. The study found ARIMA (1-0-2) forecasting model on VIX produces better forecasting result. We also validated the model with an out-of-sample dataset and found the model reliable.

Keywords: VIX; India; Sentiment; Forecasting; ARIMA (search for similar items in EconPapers)
JEL-codes: C53 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/8046/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/8046/pdf (text/html)

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:eco:journ1:2019-03-28

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().

 
Page updated 2019-08-03
Handle: RePEc:eco:journ1:2019-03-28