VIX time-series dataset consists of daily open, close, high and low. The CBOE Volatility Index (VIX) is considered as a main factor for market expectations to indicate how much volatility is in the overall market conveyed by S&P 500 stock index option prices identified in 1993. In this project, I made a model to predicte the price of the CBOE volatility index (VIX) using a time series analysis.
The project goes through the following steps:
• Exploring your data
• Forecasting VIX through Recurrent Neural Networks (LSTM)
• Model optimization using Neural Network, Linear Regression, Decision Tree & Random Forest.
CBOE Volatility Index (VIX) time-series dataset is availabel here: https://datahub.io/core/finance-vix#data
Also, you can download csv file in Kaggle website: https://www.kaggle.com/lp187q/vix-index-until-jan-202018?select=Jan20_vixcurrent_Jan20.csv