An ARIMAX-SARIMAX approach to VIX forecasting

This study is devoted to assessing the accuracy and applicability of econometric models from the ARIMA group for forecasting the VIX volatility index. The index measures the level of market uncertainty, systemic risk and investor sentiment by reflecting the short-term volatility of the benchmark index of the US market S&P 500. The study demonstrates the accuracy and effectiveness of both models (ARIMAX and SARIMAX) in different approaches for parameterization and scenario with certain conditions. The ARIMAX and SARIMAX are extensions of the traditional ARIMA and SARIMA, which include exogenous variables and seasonal components. The main external macroeconomic and market indicators used in the analysis are inflation (CPI), unemployment (UNRATE), interest rates (FEDFUNDS) and the Nasdaq 100 index. The data obtained from Yahoo Finance and the Federal Reserve (FRED). The analysis is carried out using Python software.