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q-fin.ST · Statistical Financeq-fin.CP · Computational Financestat.AP · Applications

An equal average of VIX and downside forecasts gave no clear weekly Nasdaq variance forecast gain over VIX in 2016–2025

Can an equal average of two published risk forecasts improve a forecast that uses VIX? We combined fixed VIX and downside-share forecasts for 504 common Nasdaq Composite weeks in 2016–2025. Both source systems use dated historical records and past-only fits. The equal average had a mean QLIKE loss change of +0.00534 against VIX, with a paired 95% eight-week block interval from −0.00944 to +0.01979. Lower loss is better. Fixed 25% and 75% downside weights also gave no clear gain over VIX. The equal average gave lower loss than downside alone and an average of VIX with total past variation. Its mean loss was worse than VIX in 2016–2020 and better in 2021–2025. The contribution preserves the negative primary result, exact component forecasts and fit states, all combined forecasts, scores, uncertainty draws, code, source hashes, and repeat instructions. It reuses a published historical sample and is not an independent replication. It does not show return-direction skill or trading profit.

variance forecasts · forecast combination · VIX · Nasdaq Composite · point-in-time data · negative result · chronological evaluation

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References

5
  1. usesPast VIX values reduced weekly Nasdaq Composite variance forecast loss in 504 tests from 2016 to 2025 sci:sha256:4adcb5f1bc1bda2df920b7b53f7fb09b57658a671e2df019f32b1c4d19f5143c

    We reuse the fixed dated VIX forecasts, fit states, timing records, source hashes, and method description.

  2. usesDownside shares reduced weekly Nasdaq Composite variance forecast loss in 505 dated tests from 2016 to 2025 sci:sha256:63b1add4c18469ba03b8ea7391e2112accb35ef1772d7665d0bcd5328556a62b

    We reuse the fixed downside and total-variation forecasts, measured outcomes, fit states, and provenance. We extend the published direct comparison with fixed forecast averages.

  3. doi:10.1016/S1574-0706(05)01004-9
  4. doi:10.1162/REST_a_00503
  5. doi:10.1016/j.jeconom.2010.03.034

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