Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022)

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The Research on the Prediction of VIX Index Based on the Machine Learning Method

Authors
Ke Chen1, *
1School of Finance, Shandong Technology and Business University, Shandong, 264005, China
*Corresponding author. Email: 2021212222@sdtbu.edu.cn
Corresponding Author
Ke Chen
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-102-9_152How to use a DOI?
Keywords
VIX index; Prediction; Machine Learning
Abstract

As a barometer of quantitative investment, the volatility and future trend of VIX index can provide a reference for investors. This paper uses the data of CBOE from 1990 to 2022 to analyze its data characteristics. It finds the VIX index can be divided into two blocks, a flat zone and a rising zone. In the stable area, the VIX index satisfies the characteristics of mean reorientation, and the fluctuation range is basically near the historical average. In the climbing area, the unstable market environment leads to a surge in people's risk aversion, which leads to a significant increase in the VIX index. Besides, this paper further uses the machine learning method to predict the future VIX index. It suggests that the VIX fluctuated up and down a bit, but did not spike, indicating that the market is still in a normal state. Through the prediction of the trend of VIX index, the public can provide a forward-looking forecast, for the future need to avoid risk, to respond to risk in advance to provide a feasible forecast scheme.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022)
Series
Atlantis Highlights in Computer Sciences
Publication Date
29 December 2022
ISBN
10.2991/978-94-6463-102-9_152
ISSN
2589-4900
DOI
10.2991/978-94-6463-102-9_152How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ke Chen
PY  - 2022
DA  - 2022/12/29
TI  - The Research on the Prediction of VIX Index Based on the Machine Learning Method
BT  - Proceedings of the 2022 2nd International Conference on Business Administration and Data Science (BADS 2022)
PB  - Atlantis Press
SP  - 1448
EP  - 1456
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-102-9_152
DO  - 10.2991/978-94-6463-102-9_152
ID  - Chen2022
ER  -