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Article: VIX futures

TitleVIX futures
Authors
Zhang, JEZhu, Y
Issue Date2006
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, 2006, v. 26 n. 6, p. 521-531 How to Cite?
DOI: http://dx.doi.org/10.1002/fut.20209
AbstractVIX futures are exchange-traded contracts on a future volatility index (VIX) level derived from a basket of S&P 500 (SPX) stock index options. The authors posit a stochastic variance model of VIX time evolution, and develop an expression for VIX futures. Free parameters are estimated from market data over the past few years. It is found that the model with parameters estimated from the whole period from 1990 to 2005 overprices the futures contracts by 16-44%. But the discrepancy is dramatically reduced to 2-12% if the parameters are estimated from the most recent one-year period. © 2006 Wiley Periodicals, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/85682
ISSN
0270-7314
2023 Impact Factor: 1.8
2023 SCImago Journal Rankings: 0.672
ISI Accession Number ID
WOS:000237212900001
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorZhang, JEen_HK
dc.contributor.authorZhu, Yen_HK
dc.date.accessioned2010-09-06T09:07:58Z-
dc.date.available2010-09-06T09:07:58Z-
dc.date.issued2006en_HK
dc.identifier.citationJournal Of Futures Markets, 2006, v. 26 n. 6, p. 521-531en_HK
dc.identifier.issn0270-7314en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85682-
dc.description.abstractVIX futures are exchange-traded contracts on a future volatility index (VIX) level derived from a basket of S&P 500 (SPX) stock index options. The authors posit a stochastic variance model of VIX time evolution, and develop an expression for VIX futures. Free parameters are estimated from market data over the past few years. It is found that the model with parameters estimated from the whole period from 1990 to 2005 overprices the futures contracts by 16-44%. But the discrepancy is dramatically reduced to 2-12% if the parameters are estimated from the most recent one-year period. © 2006 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.rightsThe Journal of Futures Markets. Copyright © John Wiley & Sons, Inc.en_HK
dc.titleVIX futuresen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0270-7314&volume=26&issue=6&spage=521&epage=531&date=2006&atitle=VIX+Futuresen_HK
dc.identifier.emailZhang, JE: jinzhang@hku.hken_HK
dc.identifier.authorityZhang, JE=rp01125en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/fut.20209en_HK
dc.identifier.scopuseid_2-s2.0-33646678171en_HK
dc.identifier.hkuros117272en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33646678171&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume26en_HK
dc.identifier.issue6en_HK
dc.identifier.spage521en_HK
dc.identifier.epage531en_HK
dc.identifier.eissn1096-9934-
dc.identifier.isiWOS:000237212900001-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridZhang, JE=7601346659en_HK
dc.identifier.scopusauthoridZhu, Y=15830463500en_HK
dc.identifier.issnl0270-7314-

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