In this project, I built a model for accurately forecasting the five futures prices, i.e., the five points in the volatility curve (VIXCM30, VIXCM60, VIXCM90, VIXCM120, VIXCM150). I also devised a metric for this exercise to evaluate the performance of my forecasting model.
Following models were tested for this exercise:
- ARCH/GARCH model
- VECM Model
- AR Models
- ARMA Models
To find out the winner model, check out this link.