Suppose you estimated an AR(1) model on the VIX, finding that VIX(t+1)=1.05+0.99*VIX(t)+e. Given the VIX is at 20.05 today, what would be the forecast of the VIX two days from now according to the AR(1) model? And what would be the forecast of the VIX two days from now according to the random walk model?

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Based on the AR1 model estimated the forecast of the VIX two days from now can be calculated as f... View the full answer