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Physical Sciences and Mathematics

Edith Cowan University

2018

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Generalized Correlation Measures Of Causality And Forecasts Of The Vix Using Non-Linear Models, David E. Allen, Vince J. Hooper Jan 2018

Generalized Correlation Measures Of Causality And Forecasts Of The Vix Using Non-Linear Models, David E. Allen, Vince J. Hooper

ECU Publications Post 2013

This paper features an analysis of causal relations between the daily VIX, S & P500 and the daily realised volatility (RV) of the S & P500 sampled at 5 min intervals, plus the application of an Artificial Neural Network (ANN) model to forecast the future daily value of the VIX. Causal relations are analysed using the recently developed concept of general correlation Zheng et al. and Vinod. The neural network analysis is performed using the Group Method of Data Handling (GMDH) approach. The results suggest that causality runs from lagged daily RV and lagged continuously compounded daily return on the S & P500 ...