Modeling and Studying the Stylized Facts of VIX Index

摘要：

　　VIX Index is computed on a real-time basis through every working days(Whaley 2009).It was also called “investor fear gauge,since we can use it to judge the level of investors expectation and fear.The VIX can also help investors forecast the market trend,and adjust technical analysis and trading strategy,since it can reflect the fluctuation of the S&P 500(SPX)index.This paper will study the stylized facts of VIX and then using heterogeneous autoregressions(HAR)model for modeling with VIX data.

关键词： VIX Stylized facts HAR model

作者: Lin Zhu

作者单位: F1 Mansion 27,Lane 218,Wuyang East Road,Jiangqiao Town,Jiading Area,Shanghai,China

会议类型: 国际会议

会议名称: 2019年第二届智能系统研究与机电工程国际会议(ISRME 2019) 2019 2nd International Conference on Intelligent Systems Research and Mechatronics Engineering

会议地点: 太原

会议语种:英文

页码: 112-116

在线出版日期: 2019-06-29（万方平台首次上网日期，不代表论文的发表时间）