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Forecasting of India VIX As Measure of Sentiment

Banerjee, Arindam - 2020

The India VIX represents the sentiment of traders in the Indian market, so by forecasting the future value of India VIX, we get a feel for investor sentiment in future. The objective of this study is to fit a forecasting model on India VIX using auto regressive integrated moving average (ARIMA)....

Persistent link: https://www.econbiz.de/10012844975

Using survey information for improving the density nowcasting of US GDP with a focus on predictive performance during Covid-19 pandemic

Çakmaklı, Cem; Demircan, Hamza - 2020

We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...

Persistent link: https://www.econbiz.de/10012295853

Forecasting VIX

Degiannakis, Stavros Antonios - 2011

Implied volatility index of the S&P500 is considered as a dependent variable in a fractionally integrated ARMA model, whereas volatility measures based on interday and intraday datasets are considered as explanatory variables. The next trading day’s implied volatility forecasts provide...

Persistent link: https://www.econbiz.de/10014183681

A Study on the Volatility Forecast of the US Housing Market in the 2008 Crisis

Li, Kui-Wai - 2015

This article provides the in-sample estimation and evaluates the out-of-sample conditional mean and volatility forecast …-sample estimation but poorly in the out-of-sample forecast. For the post-crisis out-of-sample forecasts, all models naturally performed … poorly in conditional mean and volatility forecast …

Persistent link: https://www.econbiz.de/10013012057

Forecasting Realized Volatility of Russian Stocks using Google Trends and Implied Volatility

Bazhenov, Timofey - 2019

This work proposes to forecast the Realized Volatility (RV) and the Value-at-Risk (VaR) of the most liquid Russian …

Persistent link: https://www.econbiz.de/10012888932

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Global financial crisis and the puzzling exchange rate path in CEE countries

Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010

In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral...

Persistent link: https://www.econbiz.de/10008689001

The role of comovement and time-varying dynamics in forecasting commodity prices

Allayioti, Anastasia; Venditti, Fabrizio - 2024

forecast accuracy are small, with predictability varying substantially across forecast horizons and commodity indices, but they …

Persistent link: https://www.econbiz.de/10014486704

Price Impact of Order Flow Imbalance : Multi-level, Cross-asset and Forecasting

Cont, Rama; Cucuringu, Mihai; Zhang, Chao - 2022

We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we show that taking into account multiple levels of the order book when defining order book imbalance leads to higher explanatory power for the contemporaneous price...

Persistent link: https://www.econbiz.de/10013309799

"Déjà vol" revisited : survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

Conrad, Christian; Glas, Alexander - 2018

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...

Persistent link: https://www.econbiz.de/10011914124

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