{"id":40890430,"date":"2024-05-07T17:18:46","date_gmt":"2024-05-07T11:48:46","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890430"},"modified":"2024-05-08T10:33:00","modified_gmt":"2024-05-08T05:03:00","slug":"prophet-for-vix","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2024\/05\/07\/prophet-for-vix\/","title":{"rendered":"Prophet for VIX"},"content":{"rendered":"\n<p>Open sourced by Meta back in 2017,&nbsp;<a href=\"https:\/\/github.com\/facebook\/prophet\">Prophet<\/a>&nbsp;is a procedure for forecasting time series data. How does it compare to GARCH(1,1) and <strong><em>locf<\/em><\/strong> (<strong>l<\/strong>ast <strong>o<\/strong>ne <strong>c<\/strong>arried <strong>f<\/strong>orward) for forecasting VIX 20 days out?<\/p>\n\n\n\n<p>We fit 500-days of rolling VIX data using Prophet and GARCH(1,1) and forecast forward 20-days. We then calculate the <strong>RMSE<\/strong> (<strong>R<\/strong>oot <strong>M<\/strong>ean <strong>S<\/strong>quared <strong>E<\/strong>rror) of the forecast vs. actual of both the models and <strong><em>locf<\/em><\/strong>. Plot RMSE of all three.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/volatility\/vix-forecast-prophet\/vix-forecast-rmse.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>Ideally, you want the error to be low and the tail of errors to be as short as possible. GARCH(1,1) looks worse than Prophet. However, <strong><em>locf <\/em><\/strong>beat both?<\/p>\n\n\n\n<p>When in doubt, take the average.<\/p>\n\n\n\n<p>Code on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/volatility\/vix-forecast-prophet\">github<\/a>.<\/p>\n\n\n\n<p><strong>Also<\/strong>: <a href=\"https:\/\/stockviz.biz\/2023\/09\/23\/vix-seasonality\/\">VIX Seasonality<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Open sourced by Meta back in 2017,&nbsp;Prophet&nbsp;is a procedure for forecasting time series data. How does it compare to GARCH(1,1) and locf (last one carried forward) for forecasting VIX 20 days out? We fit 500-days of rolling VIX data using Prophet and GARCH(1,1) and forecast forward 20-days. We then calculate the RMSE (Root Mean Squared &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3221,1150],"class_list":["post-40890430","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-vix","tag-volatility","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890430","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890430"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890430\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890430"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890430"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890430"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}