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Jui-Cheng Hung, Ren-Xi Ni and Matthew C. Chang
''The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500''
( 2009, Vol. 29 No.4 )
In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005) to examine the forecasting performances of GJR and GJR-X models for the S&P500 stock index. The results indicate that combining VIX and range-based volatilities into GARCH-type model can both enhance the one-step-ahead volatility forecasts while evaluating with different kinds of loss functions. Moreover, regardless of under-prediction, GJR-VIX model appears to be the most preferred, which implies that VIX index has better information content for improving volatility forecasting performance.
Keywords: Range-based volatilities; GJR-based volatility forecasting; VIX index; SPA test
JEL: C5 - Econometric Modeling: General
Manuscript Received : Sep 12 2009 Manuscript Accepted : Oct 16 2009

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