New study finds GARCH outperforms VIXC in predicting stock market volatility.
The article compares how well two methods, VIXC and GARCH, predict changes in volatility. They used data from the Canadian stock market and found that while VIXC has the most information when volatility is high, it is not very accurate in predicting the direction of volatility changes. On the other hand, GARCH (1,1) is the most accurate in predicting volatility changes.