Can technical indicators based on underlying assets help to predict implied volatility index
用copula方法研究标的资产的技术指标是否包含隐含波动率指数的额外信息，发现技术指标虽不能预测指数价格，但能改善预测误差大小，并用于扩展波动率模型以提升风险价值估计。
Abstract Given the widespread use of technical analysis and the tight relationship between derivatives and the underlying assets, we employ the copula approach to investigate whether the technical indicators based on underlying assets convey extra information about the future movements of implied volatility (IV) indexes. The empirical results, based on long samples of five well‐known IV indexes, suggest that although the technical indicators are not informative for forecasting the future prices of IV indexes, they can provide extra information about the size of forecasting errors of the IV indexes. The findings are also robust to the impact of COVID‐19. The technical indicators are then used to extend Threshold ARCH and Exponencial GARCH models for improving the estimation of Value at Risks (VaRs). The out‐of‐sample forecast results show that the proposed model outperforms the benchmark in estimating the VaRs. These findings have implications for pricing options of IV indexes and managing the risks of IV‐related portfolios.