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THE VIX AND FUTURE INFORMATION
International Journal of Theoretical and Applied Finance, 2020In this paper, we propose an innovative VIX model which takes future market information available to the traders into account. The future information is modeled by an initially enlarged filtration in our setup. We derive an explicit representation for the anticipative VIX process and obtain the associated time dynamics. We also investigate the pricing
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Journal of Futures Markets, 2012
In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30‐day to any arbitrary time‐to‐maturity, and study the term structure of VIX. We propose new concepts of instantaneous and long‐term squared VIXs as the limits at the short and long ends of the term structure respectively.
Zhang, JE, Luo, X
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In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30‐day to any arbitrary time‐to‐maturity, and study the term structure of VIX. We propose new concepts of instantaneous and long‐term squared VIXs as the limits at the short and long ends of the term structure respectively.
Zhang, JE, Luo, X
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VIX MODELING FOR A MARKET INSIDER
International Journal of Theoretical and Applied Finance, 2022In this paper, we extend the popular Barndorff–Nielsen–Shephard stochastic volatility model to the case of a pure-jump Ornstein–Uhlenbeck equation with non-vanishing stochastic mean-reversion level. Based on this setup, we derive representations for the squared VIX process and related VIX futures prices.
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SSRN Electronic Journal, 2017
At the settlement time of the VIX Volatility Index, volume spikes on SP editorial decision June 19, 2017 by Editor Robin Greenwood.
John M Griffin, Amin Shams
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At the settlement time of the VIX Volatility Index, volume spikes on SP editorial decision June 19, 2017 by Editor Robin Greenwood.
John M Griffin, Amin Shams
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Forecasting the VIX to Improve VIX-Derivatives Trading
SSRN Electronic Journal, 2016Konstantinidi et. al. state in their broad survey of Volatility-Index forecasting: "The question whether the dynamics of implied volatility indices can be predicted has received little attention". The overall result of this and the quoted papers is: The VIX is too a very limited extend (R2 is typically 0.01) predictable, but the effect is economically ...
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International Journal of Forecasting
The present study highlights the economic profits of markets’ participants, accumulated from the disaggregated forecasts of the stock market’s implied volatility, generated from an ensemble modelling architecture. We incorporate six decomposition techniques, namely, the EMD, the EEMD, the SSA, the HVD, the EWT and the VMD and four different model ...
Stavros Degiannakis +1 more
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The present study highlights the economic profits of markets’ participants, accumulated from the disaggregated forecasts of the stock market’s implied volatility, generated from an ensemble modelling architecture. We incorporate six decomposition techniques, namely, the EMD, the EEMD, the SSA, the HVD, the EWT and the VMD and four different model ...
Stavros Degiannakis +1 more
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VIX term structure and VIX futures pricing with realized volatility
Journal of Futures Markets, 2018Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed‐form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added ...
Zhuo Huang, Chen Tong, Tianyi Wang
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Antiquity, 1966
One of the best known and most quoted finds in western Europe must be that of the ‘princess's burial’ of Vix discovered early in 1953 not far from Châtillon-sur-Seine below the Celtic stronghold of Mont Lassois (Latisco). The contents of the grave are such that classical no less than prehistoric archaeologists have had cause to add to the still ...
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One of the best known and most quoted finds in western Europe must be that of the ‘princess's burial’ of Vix discovered early in 1953 not far from Châtillon-sur-Seine below the Celtic stronghold of Mont Lassois (Latisco). The contents of the grave are such that classical no less than prehistoric archaeologists have had cause to add to the still ...
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The Journal of Index Investing, 2017
Volatility has emerged as an important and distinct asset class over the past decade. The popularity of volatility stems from its unique properties—namely, its negative correlation with equity returns and its usefulness as insurance against tail risk. Trading applications of volatility-related securities and financial instruments involve, among others,
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Volatility has emerged as an important and distinct asset class over the past decade. The popularity of volatility stems from its unique properties—namely, its negative correlation with equity returns and its usefulness as insurance against tail risk. Trading applications of volatility-related securities and financial instruments involve, among others,
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The Journal of Portfolio Management, 2009
Financial news services now routinely report the level of the Chicago Board Option Exchange9s Market Volatility Index, or VIX. This practice may be healthy in the sense that investors are seeking more information with which to assess the state of the economic environment, but investors need to understand exactly what the index means in order to fully ...
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Financial news services now routinely report the level of the Chicago Board Option Exchange9s Market Volatility Index, or VIX. This practice may be healthy in the sense that investors are seeking more information with which to assess the state of the economic environment, but investors need to understand exactly what the index means in order to fully ...
openaire +1 more source