File Download
Supplementary

Conference Paper: The term structure of VIX

TitleThe term structure of VIX
Authors
KeywordsVIX
Term structure
Issue Date2009
Citation
The 2010 Financial Management Association (FMA) Asian Conference, Singapore, 14-16 July 2010. How to Cite?
AbstractWe extend the 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 the VIXs. Our empirical analysis indicates that the framework is good at both capturing time-series dynamics of the 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 information content of the VIXs relative to historical volatility in forecasting future realized volatility. Consistent with previous studies, we find that the VIXs contain more information than historical volatility.
DescriptionSession 004 – Derivatives Modeling
The Conference program's website is located at http://www.fma.org/Singapore/SingaporeProgram.htm
Persistent Identifierhttp://hdl.handle.net/10722/138308

 

DC FieldValueLanguage
dc.contributor.authorLuo, Xen_US
dc.contributor.authorZhang, Jen_US
dc.date.accessioned2011-08-26T14:44:36Z-
dc.date.available2011-08-26T14:44:36Z-
dc.date.issued2009en_US
dc.identifier.citationThe 2010 Financial Management Association (FMA) Asian Conference, Singapore, 14-16 July 2010.en_US
dc.identifier.urihttp://hdl.handle.net/10722/138308-
dc.descriptionSession 004 – Derivatives Modeling-
dc.descriptionThe Conference program's website is located at http://www.fma.org/Singapore/SingaporeProgram.htm-
dc.description.abstractWe extend the 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 the VIXs. Our empirical analysis indicates that the framework is good at both capturing time-series dynamics of the 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 information content of the VIXs relative to historical volatility in forecasting future realized volatility. Consistent with previous studies, we find that the VIXs contain more information than historical volatility.-
dc.languageengen_US
dc.relation.ispartofFinancial Management Association (FMA) Asian Conference 2010en_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectVIX-
dc.subjectTerm structure-
dc.titleThe term structure of VIXen_US
dc.typeConference_Paperen_US
dc.identifier.emailZhang, J: jinzhang@hku.hken_US
dc.identifier.authorityZhang, J=rp01125en_US
dc.description.naturepostprint-
dc.identifier.hkuros189530en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats