Forecasting VIX with Stock and Oil PricesForecasting VIX with Stock and Oil Prices
Year: 2023 Volume: 73 Issue: 1 Pages: 24-55
Abstract: Using daily observations from 2004 to 2020, we find that separately, both stocks and oil price variables improve the prediction of the VIX, but not together. In particular, the oil price seems to be more informative. We study the sensitivity of our results with respect to different estimations setups; specifically we change the discounting factor in the EWLS (exponentially weighted least squares) estimation that seems to be relevant, but changing the size of the estimation window does not lead to unambiguous results. Finally, the numerical results show that the provided VIX forecasting models can help the investors to evaluate the volatility-related exchange traded products.
JEL classification: G17
Keywords: VIX, volatility Index, forecast performance, stock price, oil price
DOI: https://doi.org/10.32065/CJEF.2023.01.02
RePEc: https://ideas.repec.org/a/fau/fauart/v73y2023i1p24-55.html
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