VIX Index in Interday and Intraday Volatility Models

Stavros Degiannakis and Christos Floros

MPRA Paper from University Library of Munich, Germany

Abstract: ARCH models for the daily S&P500 log-returns are estimated, whereas the intraday prices comprise the dataset for an ARFIMAX model. Model’s forecasting performance is statistically superior when the CBOE’s VIX index is incorporated as an explanatory variable.

Keywords: ARFIMAX; HYGARCH; VIX Index; Volatility Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 G15 (search for similar items in EconPapers)
Date: 2010
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Published in Journal of Money, Investment and Banking 13 (2010): pp. 21-26

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:96304

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