Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model
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DOI: 10.1002/for.3260
Abstract: This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model,… read more here.
Keywords: har model; vix; tvp har; model ... See more keywords