2. Methodology
2.1 Data and Descriptive Analysis
The data analyzed in this paper comprises of the daily open, high, low, and closing prices data on SPDRs as well as the VIX data obtained from the Yahoo Finance website. The sample period for these daily data covers from 2 January 2009 to 31 December 2014 for a total of 1,510 trading days. The first four years (1,006 observations) are used as the in-sample period for estimation purpose, while the remaining two years (504 observations) are left for out-of-sample forecast evaluation