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Conference Paper: The Term Structure of VIX

TitleThe Term Structure of VIX
Authors
KeywordsVIX
Term structure
Issue Date2010
Citation
The 2010 Financial Management Association (FMA) European Conference, Hamburg, Germany, 9-11 June 2010. How to Cite?
AbstractWe 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 Identifierhttp://hdl.handle.net/10722/127835

 

DC FieldValueLanguage
dc.contributor.authorLuo, Xen_HK
dc.contributor.authorZhang, EJen_HK
dc.date.accessioned2010-10-31T13:49:18Z-
dc.date.available2010-10-31T13:49:18Z-
dc.date.issued2010en_HK
dc.identifier.citationThe 2010 Financial Management Association (FMA) European Conference, Hamburg, Germany, 9-11 June 2010.en_HK
dc.identifier.urihttp://hdl.handle.net/10722/127835-
dc.description.abstractWe 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.languageengen_HK
dc.relation.ispartof2010 FMA European Conference-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectVIX-
dc.subjectTerm structure-
dc.titleThe Term Structure of VIXen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailLuo, X: h0696602@hkusua.hku.hken_HK
dc.identifier.emailZhang, EJ: jinzhang@hku.hk-
dc.description.naturepostprint-
dc.identifier.hkuros174860en_HK

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