Forecasting VIX: the illusion of forecast evaluation criteria

• Eleftheria Kafousaki ^[1] ; Stavros Degiannakis ^[1]
  1. [1] Panteion University of Social and Political Sciences
• Localización: Economics and Business Letters, ISSN-e 2254-4380, Vol. 12, Nº. Extra 3, 2023 (Ejemplar dedicado a: selected papers from AMEF 2022 Greece (Editor-in-Charge: Theodore Panagiotidis)), págs. 231-240
• Idioma: inglés
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• 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.