Forecasting VIX with Hivemind
This post explores creating custom ForecastOS Hivemind factors to forecast 10-(trading)-day changes to VIX.
By the end of this post, we'll have a model that predicts 10-trading-day forward changes to VIX during our test period (last ~2 years) with:
* 63.8% hit rate (directional accuracy),
* 13.2% R²