Forecasting VIX using realized EGARCH model with dynamic jumps

Xinyu Wu, Junlin Pu and Yuyao Wang

Applied Economics Letters, 2025, vol. 32, issue 11, 1534-1545

Abstract: This paper proposes a realized EGARCH model with dynamic jumps (REGARCH-Jump) incorporating high-frequency information and time-varying jump intensity to forecast VIX. We derive the risk-neutral dynamic of the REGARCH-Jump model as well as the corresponding model-implied VIX formula. Our empirical results show that the REGARCH-Jump model outperforms a range of competing models in terms of VIX forecasting performance.

Date: 2025
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DOI: 10.1080/13504851.2024.2308565

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