Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Intraday forecasts of a volatility index: Functional time series methods
  with dynamic updating   As a forward-looking measure of future equity market volatility, the VIX
index has gained immense popularity in recent years to become a key measure of
risk for market analysts and academics. We consider discrete reported intraday
VIX tick values as realisations of a collection of curves observed sequentially
on equally spaced and dense grids over time and utilise functional data
analysis techniques to produce one-day-ahead forecasts of these curves. The
proposed method facilitates the investigation of dynamic changes in the index
over very short time intervals as showcased using the 15-second high-frequency
VIX index values. With the help of dynamic updating techniques, our point and
interval forecasts are shown to enjoy improved accuracy over conventional time
series models.

3
The categories of this paper are: physics
21
The categories of this paper are: adap-org
24
The categories of this paper are: dg-ga
13
The categories of this paper are: quant-ph
23
The categories of this paper are: solv-int
27
The categories of this paper are: comp-gas
18
The categories of this paper are: econ
11
The categories of this paper are: hep-lat
14
The categories of this paper are: math-ph
9
The categories of this paper are: nlin
20
The categories of this paper are: acc-phys
15
The categories of this paper are: nucl-ex
2
The categories of this paper are: math
12
The categories of this paper are: nucl-th
1
The categories of this paper are: cs
5
The categories of this paper are: gr-qc