Forecasting the direction of daily changes in the India VIX index using deep learning

The VIX index is an indicator of the market's perception of risk, and an accurate fore-cast of the movements in VIX can be very useful for investment risk management. So, the aim of this study is to predict the day-to-day movement of the India VIX using six deep learning archi-tectures. All six architectures performed well and achieved a higher level of accuracy with minor differences than in previous studies. The findings of the study are of great relevance for assessing short-term risk as well as long-term strategies for hedgers, risk-averse investors, volatility trad-ers, investors, and financial researchers.& COPY; 2023 Published by Elsevier Ltd on behalf of Indian Institute of Management Bangalore. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/ by-nc-nd/4.0/)