Forecasting the Volatility of Volatility with Parametric Models
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Abstract
The purpose of the research is the assessment of forecasts performance of the VVIX Index, in other words the volatility of volatility index. The survey concerns the periods including the subprime crisis and the debt crisis. The intention of the author is to get to know the forecasting properties of volatility of volatility and to compare its econometric characteristics with that of classical implied volatility in subprime crisis. The significance of volatility of volatility emerges from the possibility of predicting the falls of exchange quotations on a stock market on the basis of it.
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The article was accepted for publication, but other authors of the monograph retreated
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Keywords
VVIX index, VIX index, ARFIMA model, GARCH model, implied volatility