This study employs seven advanced machine learning approaches to conduct numerical predictions of the next-day returns of VIX constant-maturity futures (VIX CMFs) using the term structure information
Good performers were defined as having a delta TMT score of less than 36 seconds, intermediate performers as having a delta TMT score of 36–58 s, and poor performers as having a delta TMT score higher
This study employs seven advanced machine learning approaches to conduct numerical predictions of the next-day returns of VIX constant-maturity futures (VIX CMFs) using the term structure information
