Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
Volatility Index (VIX) futures are among the most actively traded contracts at the Chicago Board Options Exchange, in response to the growing need for protection against volatility risk. The authors develop a new class of discrete-time and closed-form VIX futures pricing models, in which the S&P 500 returns follow the time-varying infinite-activity Normal Inverse Gaussian (NIG) and finite-activity compound Poisson (CP) jump-GARCH models, and which are risk-neutralized by the variance-dependent pricing kernel used by Christoffersen et al. (2013). They estimate these models using several data sets, including the S&P 500 returns, VIX Index, and VIX futures. The empirical results indicate that the time-varying NIG and CP jump-GARCH models significantly outperform the Heston-Nandi (HN) GARCH model in asset returns fitting and VIX futures pricing.
TOPICS: Futures and forward contracts, derivatives
- © 2019 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600