ARCH Models for Financial Applications

Evdokia Xekalaki · Stavros Antonios Degiannakis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

Abstract

ARCH models for the daily S&P500 log-returns are estimated, whereas the intraday prices comprise the dataset for an ARFIMAX model. Model’s forecasting performance is statistically superior when the CBOE’s VIX index is incorporated as an explanatory variable.

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References

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