Forecast on S&P 500 Index Based on HAR-RV Model

With VIX and Day-of-the-Week Effect

DOI

10.2991/assehr.k.211209.217How to use a DOI?

Keywords

S&P 500; HAR-RV model; VIX; day-of-the-week-effect

Abstract

The S&P 500 is an essential indicator for the U.S. and even the global stock markets. Meanwhile, the HAR-RV model is a new testing model, so predicting the realized volatility of S&P is significant to analyze using the HAR-RV model. This article will use the HAR-RV model to predict the S&P 500 index. Moreover, to make the model more accurate, the report adds the VIX and day-of-the-week effect into the formula. Finally, we get that VIX has a noticeable impact on the prediction of the S&P 500, but there is not enough evidence that the day-of-the-effect existed.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Qiannan Xiong
PY  - 2021
DA  - 2021/12/15
TI  - Forecast on S&P 500 Index Based on HAR-RV Model
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 1333
EP  - 1338
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.217
DO  - 10.2991/assehr.k.211209.217
ID  - Xiong2021
ER  -