Stock index volatility forecasting with high frequency data sujoceva498012883
In a previous blog post I mentioned the VVIX VIX Ratio, which is measured as the ratio of the CBOE VVIX Index to the VIX Index The former measures the volatility of.
Stock index volatility forecasting with high frequency data.
Despite the sophisticated composition of most volatility forecasting models, critics claim that their predictive power is similar to that of plain vanilla measures.
Modeling , forecasting multifractal volatility established upon the heterogeneous market hypothesis. Highlights Trends of high frequency KOSPI200 index are predicted with learning classifiers High frequency spot trends are better predictable with spot futures