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Conference Paper: The Term Structure of VIX
Title | The Term Structure of VIX |
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Authors | |
Keywords | VIX Term structure |
Issue Date | 2010 |
Citation | The 2010 Financial Management Association (FMA) European Conference, Hamburg, Germany, 9-11 June 2010. How to Cite? |
Abstract | We extend the concept of CBOE constant 30-day VIX to other maturities and construct daily VIX term structure data from starting date available to August 2009. We propose a simple yet powerful two-factor stochastic volatility framework for VIXs. Our empirical analysis indicates that the framework is good at both capturing time-series dynamics of VIXs and generating rich cross-sectional shape of the term structure. In particular, we show that the two time-varying factors may be interpreted as factors corresponding to level and slope of the VIX term structure. Moreover, we explore the information content of VIXs relative to historical volatility in forecasting future realized volatility. Consistent with previous studies, we find that VIXs contain more information than historical volatility. |
Persistent Identifier | http://hdl.handle.net/10722/127835 |
DC Field | Value | Language |
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dc.contributor.author | Luo, X | en_HK |
dc.contributor.author | Zhang, EJ | en_HK |
dc.date.accessioned | 2010-10-31T13:49:18Z | - |
dc.date.available | 2010-10-31T13:49:18Z | - |
dc.date.issued | 2010 | en_HK |
dc.identifier.citation | The 2010 Financial Management Association (FMA) European Conference, Hamburg, Germany, 9-11 June 2010. | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/127835 | - |
dc.description.abstract | We extend the concept of CBOE constant 30-day VIX to other maturities and construct daily VIX term structure data from starting date available to August 2009. We propose a simple yet powerful two-factor stochastic volatility framework for VIXs. Our empirical analysis indicates that the framework is good at both capturing time-series dynamics of VIXs and generating rich cross-sectional shape of the term structure. In particular, we show that the two time-varying factors may be interpreted as factors corresponding to level and slope of the VIX term structure. Moreover, we explore the information content of VIXs relative to historical volatility in forecasting future realized volatility. Consistent with previous studies, we find that VIXs contain more information than historical volatility. | - |
dc.language | eng | en_HK |
dc.relation.ispartof | 2010 FMA European Conference | - |
dc.subject | VIX | - |
dc.subject | Term structure | - |
dc.title | The Term Structure of VIX | en_HK |
dc.type | Conference_Paper | en_HK |
dc.identifier.email | Luo, X: h0696602@hkusua.hku.hk | en_HK |
dc.identifier.email | Zhang, EJ: jinzhang@hku.hk | - |
dc.description.nature | postprint | - |
dc.identifier.hkuros | 174860 | en_HK |