Forecasting VIX: the illusion of forecast evaluation criteria

Autores/as

  • ELEFTHERIA KAFOUSAKI Panteion University of Social and Political Sciences, Department of Economic and Regional Development, Syggrou Avenue 136, GR176721 Athens, Greece
  • Stavros Degiannakis Panteion University of Social and Political Sciences, Department of Economic and Regional Development, Greece

DOI:

https://doi.org/10.17811/ebl.12.3.2023.231-240

Palabras clave:

Implied volatility forecasting, realized volatility measures, objective-based evaluation criteria

Resumen

The study uses daily realized volatility measures in order to gain forecast accuracy over stocks’ market implied volatility, as proxied by VIX Index. We evaluate forecast accuracy by incorporating a traditional statistical loss function, along with an objective-based evaluation criterion, that is the cumulative returns earned from the different HAR-type volatility models, through a simple yet effective trading exercise on VIX futures. Findings, illustrate how illusive the choice between the two metrics may be, as it ends in two contradicting results.

Citas

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Publicado

2023-10-09

Cómo citar

KAFOUSAKI, E., & Degiannakis, S. (2023). Forecasting VIX: the illusion of forecast evaluation criteria. Economics and Business Letters, 12(3), 231–240. https://doi.org/10.17811/ebl.12.3.2023.231-240