%0 Journal Article %A Xie Haibin %A Zhou Mo %A Tinghui Ruan %T Pricing VIX Futures under GJR-GARCH Process: An Analytical Approximation Method %D 2020 %R 10.3905/jod.2020.1.096 %J The Journal of Derivatives %P jod.2020.1.096 %X This article investigates the performance of GJR-GARCH in pricing VIX futures. We first establish a theoretical relationship between VIX futures price and the model implied VIX, from which an analytical approximation pricing formula is then obtained. We compare the pricing performance of the GJR-GARCH model with the Heston-Nandi model. The results show significant dominance of the GJR-GARCH over the Heston-Nandi in both in-sample and out-of-sample VIX futures pricing.TOPICS: Futures and forward contracts, optionsKey Findings• A theoretical relationship between VIX futures price and the model implied VIX is established.• An analytical approximation pricing formula for VIX futures under the GJR-GARCH is obtained.• The empirical results show that the analytical approximation pricing method under GJR-GARCH outperforms the analytical pricing method under the Heston-Nandi model. %U https://jod.pm-research.com/content/iijderiv/early/2020/02/06/jod.2020.1.096.full.pdf