Graduation Year
2022
Date of Submission
4-2022
Document Type
Campus Only Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Fan Yu
Rights Information
© 2022 Joseph D Muscat
Abstract
Daily returns to VIX, CBOE’s volatility index, have been demonstrated in previous literature to be forecastable by ARIMA modelling. However, these studies trained their models prior to the introduction of VIX futures and options in 2004 and 2006 respectively. This paper finds that the introduction of tradeable derivatives on the VIX coincides with a substantial decrease in the forecasting ability of ARIMA models. This finding is further corroborated by significant measures of increased randomness in VIX returns, demonstrating superior pricing efficiency for the VIX and lowered serial correlation in its returns.
Recommended Citation
Muscat, Joseph, "Comparing Forecast Accuracy of ARIMA Modelling on VIX Returns Before and After the Introduction of VIX Derivatives" (2022). CMC Senior Theses. 2963.
https://scholarship.claremont.edu/cmc_theses/2963
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.
