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Modelling and Forecasting Volatility with VIX index

Author

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  • Philippe. K. Spieser
  • Thore Kockerols

Abstract

The main objective of our study is to model and forecast volatility as measured by the VIX index, with the aim of producing information to banks and also to macroeconomists. We begin with Arma/Arima models, augmented with Garch errors and exogenous regressors : some macroeconomic leading indicators were indeed included in regressions. In particular we tested the effects of negative returns since they are likely to increase volatility. We also tested the ECB deposit facilities volumes which account for the liquidity shortages and confidence losses in the market, as well as some announcements regarding the debt refinancing in the European zone Stationnarity, Garch effects, Forecast model

Suggested Citation

  • Philippe. K. Spieser & Thore Kockerols, 2012. "Modelling and Forecasting Volatility with VIX index," EcoMod2012 4173, EcoMod.
    • Handle: RePEc:ekd:002672:4173
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    Keywords

    USA; ; Finance; Forecasting; nowcasting;
    All these keywords.

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