Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market
This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market. Our main findings are as follows. First, using the univar...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2016-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2016.1220711 |