Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models
收藏NIAID Data Ecosystem2026-05-02 收录
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This dataset is used in the paper "Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models" by Massimo Guidolin and Giulia F. Panzeri. The data contains daily observations of the VIX, SKEW, and SKEW− indices over the period January 4, 1996, - December 31, 2019. This period covers a total of 6,005 daily observations. The dataset is constructed from multiple sources as described in the paper and includes several files that correspond to different transformations and forecast errors of the indices.
创建时间：
2024-09-14
