VIX and volatility forecasting: A new insight

Hui Wang

Physica A: Statistical Mechanics and its Applications, 2019, vol. 533, issue C

Abstract: This study uses a new fresh look to investigate the linkages between the CBOE VIX and stock market volatility. In this paper, we use 13 stock markets of the G20 to do our research and document several important findings. First, in most countries, the VIX and its large component have statistically significant effect and can lead to high stock market volatility. Compared to the R-squares, we find that large VIX has stronger explanation ability to the international stock markets volatility. Second, out-of-sample results indicate that the VIX can help to increase the forecasts accuracy, especially the large VIX. Additionally, the robust tests support our main conclusions.

Keywords: Forecasting volatility; Intraday data; Realized volatility; VIX; Out-of-sample (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:533:y:2019:i:c:s0378437119311392

DOI: 10.1016/j.physa.2019.121951

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