Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio
Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. To do so, a volatility forecast is used, in our case, the direction of the VIX. We predict the one week ahead movem
