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The information contents of vix index and range-based volatility on volatility forecasting performance of s&p 500
| Content Provider | Semantic Scholar |
|---|---|
| Author | Hung, Jui-Cheng |
| Copyright Year | 2009 |
| Abstract | In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005) to examine the forecasting performances of GJR and GJR-X models for the S&P500 stock index. The results indicate that combining VIX and range-based volatilities into GARCH-type model can both enhance the one-step-ahead volatility forecasts while evaluating with different kinds of loss functions. Moreover, regardless of under-prediction, GJR-VIX model appears to be the most preferred, which implies that VIX index has better information content for improving volatility forecasting performance. |
| Starting Page | 2592 |
| Ending Page | 2604 |
| Page Count | 13 |
| File Format | PDF HTM / HTML |
| Volume Number | 29 |
| Alternate Webpage(s) | http://www.accessecon.com/pubs/eb/2009/volume29/eb-09-v29-i4-p12.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
