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- W4289236281 abstract "As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce one-day-ahead forecasts of these curves. The proposed method facilitates the investigation of dynamic changes in the index over very short time intervals as showcased using the 15-second high-frequency VIX index values. With the help of dynamic updating techniques, our point and interval forecasts are shown to enjoy improved accuracy over conventional time series models." @default.
- W4289236281 created "2022-08-01" @default.
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- W4289236281 date "2018-11-30" @default.
- W4289236281 modified "2023-10-14" @default.
- W4289236281 title "Intraday forecasts of a volatility index: Functional time series methods with dynamic updating" @default.
- W4289236281 doi "https://doi.org/10.48550/arxiv.1812.00096" @default.
- W4289236281 hasPublicationYear "2018" @default.
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