Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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

With VIX and Day-of-the-Week Effect

Authors
Qiannan Xiong1, *
1Department of Economics, University of Macau, Macau SAR, China
*Corresponding author. Email: 1 sb82422@um.edu.mo
Corresponding Author
Qiannan Xiong
Available Online 15 December 2021.
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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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.217How to use a DOI?
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.

Cite this article

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  -