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Article: The CBOE S&P 500 Three-month variance futures

TitleThe CBOE S&P 500 Three-month variance futures
Authors
KeywordsBusiness and economics
Investments
Issue Date2010
PublisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/
Citation
Journal Of Futures Markets, 2010, v. 30 n. 1, p. 48-70 How to Cite?
AbstractIn this article, we study the market of the Chicago Board Options Exchange S&P 500 three-month variance futures that were listed on May 18, 2004. By using a simple mean-reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed time-to-maturity variance futures and the VIX2. The model prediction is supported by empirical tests. We find that a model with a fixed mean-reverting speed of 1.2929 and a daily-calibrated floating long-term mean level has a good fit to the market data between May 18, 2004, and August 17, 2007. The market price of volatility risk estimated from the 30-day realized variance and VIX2 has a mean value of -19.1184. © 2009 Wiley Periodicals, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/85518
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 0.520
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorZhang, JEen_HK
dc.contributor.authorHuang, Yen_HK
dc.date.accessioned2010-09-06T09:06:05Z-
dc.date.available2010-09-06T09:06:05Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Futures Markets, 2010, v. 30 n. 1, p. 48-70en_HK
dc.identifier.issn0270-7314en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85518-
dc.description.abstractIn this article, we study the market of the Chicago Board Options Exchange S&P 500 three-month variance futures that were listed on May 18, 2004. By using a simple mean-reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed time-to-maturity variance futures and the VIX2. The model prediction is supported by empirical tests. We find that a model with a fixed mean-reverting speed of 1.2929 and a daily-calibrated floating long-term mean level has a good fit to the market data between May 18, 2004, and August 17, 2007. The market price of volatility risk estimated from the 30-day realized variance and VIX2 has a mean value of -19.1184. © 2009 Wiley Periodicals, Inc.en_HK
dc.languageengen_HK
dc.publisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/en_HK
dc.relation.ispartofJournal of Futures Marketsen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsThe Journal of Futures Markets. Copyright © John Wiley & Sons, Inc.en_HK
dc.subjectBusiness and economics-
dc.subjectInvestments-
dc.titleThe CBOE S&P 500 Three-month variance futuresen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0270-7314&volume=30&issue=1&spage=48&epage=70&date=2010&atitle=The+CBOE+SandP+500+three-month+variance+futuresen_HK
dc.identifier.emailZhang, JE: jinzhang@hku.hken_HK
dc.identifier.authorityZhang, JE=rp01125en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1002/fut.20400en_HK
dc.identifier.scopuseid_2-s2.0-77955642833en_HK
dc.identifier.hkuros168001en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77955642833&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume30en_HK
dc.identifier.issue1en_HK
dc.identifier.spage48en_HK
dc.identifier.epage70en_HK
dc.identifier.isiWOS:000272092500003-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridZhang, JE=7601346659en_HK
dc.identifier.scopusauthoridHuang, Y=36343648300en_HK

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