Empirical Performance of Component GARCH Models in Pricing VIX Term Structure and VIX Futures
學年 111
學期 2
出版（發表）日期 2023-03-11
作品名稱 Empirical Performance of Component GARCH Models in Pricing VIX Term Structure and VIX Futures
作品名稱（其他語言）
著者 Chang, Li-han
單位
出版者
著錄名稱、卷期、頁數 Journal of Empirical Finance 72,　p.122-142
摘要 Under the component GARCH model of Christoffersen et al. (2008), this research provides the analytical pricing formulae of the VIX term structure and VIX futures, points out the zero-risk premium feature in the fully persistent model of Christoffersen et al. (2008), and examines the pricing performances of eight nested models. Our empirical results show that decomposing conditional variance into long-run and short-run components may not be successful in describing S&P 500 Index returns, volatility indices, and VIX futures prices. Lastly, we conduct trading strategies in the VIX futures market to evaluate the economic significance of model predictions.
關鍵字 VIX;VIX term structure;VIX futures;GARCH;Long-run variance
語言 en
ISSN 1879-1727
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 否
國別 NLD
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126752 )