Forecasting the direction of daily changes in the India VIX index using deep learning

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2023-06-01 DOI:10.1016/j.iimb.2023.05.002

Akhilesh Prasad , Priti Bakhshi , Debashis Guha

引用次数: 0

Abstract

The VIX index is an indicator of the market's perception of risk, and an accurate forecast of the movements in VIX can be very useful for investment risk management. So, the aim of this study is to predict the day-to-day movement of the India VIX using six deep learning architectures. All six architectures performed well and achieved a higher level of accuracy with minor differences than in previous studies. The findings of the study are of great relevance for assessing short-term risk as well as long-term strategies for hedgers, risk-averse investors, volatility traders, investors, and financial researchers.

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使用深度学习预测印度波动率指数的每日变化方向

波动率指数是市场对风险感知的一个指标，对波动率指数变动的准确预测对投资风险管理非常有用。因此，本研究的目的是使用六个深度学习架构来预测印度VIX的日常运动。所有六种体系结构都表现良好，并且与以前的研究相比，具有较小的差异，实现了更高水平的准确性。本研究的发现对于套期保值者、风险厌恶者、波动交易者、投资者和金融研究人员评估短期风险和长期策略具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.