Predicting VIX with adaptive machine learning

DOI10.1080/14697688.2024.2439458MaRDI QIDQ7014847zbMATH OpenFDO

Authors Yunfei Bai, Charlie X. Cai

Publication date 10 March 2025

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2024.2439458

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A note on the validity of cross-validation for evaluating autoregressive time series prediction
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Modeling and Forecasting Realized Volatility
• Random forests

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