Intraday forecasts of a volatility index: functional time series methods with dynamic updating
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Publication:2288944
DOI10.1007/S10479-018-3108-4zbMATH Open1434.62196arXiv1812.00096OpenAlexW2902784710WikidataQ128830736 ScholiaQ128830736MaRDI QIDQ2288944FDOQ2288944
Authors: Han Lin Shang, Yang Yang, Fearghal Kearney 
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Abstract: As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce one-day-ahead forecasts of these curves. The proposed method facilitates the investigation of dynamic changes in the index over very short time intervals as showcased using the 15-second high-frequency VIX index values. With the help of dynamic updating techniques, our point and interval forecasts are shown to enjoy improved accuracy over conventional time series models.
Full work available at URL: https://arxiv.org/abs/1812.00096
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
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Cited In (6)
- Forecasting intraday S\&P 500 index returns: a functional time series approach
- On projection methods for functional time series forecasting
- Forecasting high-frequency stock returns: a comparison of alternative methods
- Forecasting functional time series using weighted likelihood methodology
- Different PCA approaches for vector functional time series with applications to resistive switching processes
- A multiple indicators model for volatility using intra-daily data
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