Since 2014
Does Historical VIX Term Structure Contain Valuable Information for Predicting VIX Futures?
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Does Historical VIX Term Structure Contain Valuable Information for Predicting VIX Futures?
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| Creator |
Jabłecki, Juliusz; The National Bank of Poland or Union Investment TFI S.A.
Kokoszczyński, Ryszard; The National Bank of Poland or Union Investment TFI S.A. Sakowski, Paweł Ślepaczuk, Robert; University of Warsaw, Faculty of Economic Sciences Wójcik, Piotr |
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| Subject |
volatility term structure; volatility risk premium; VIX, VIX futures; volatility futures; realized volatility; implied volatility; investment strategies; returns forecasting; efficient risk and return measures
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| Description |
We suggest that the term structure of VIX futures shows a clear pattern of dependence on the current level of VIX index. At the low levels of VIX (below 20), the term structure is highly upward sloping, while at the high VIX levels (over 30) it is strongly downward sloping. We use these features to predict future VIX futures prices more precisely. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP). We use them further to estimate the distance between the actual value and the fair (model) value of the VTS. We find that this distance has significant predictive power for volatility futures and index futures and we use this feature to design simple strategies to invest in VIX futures.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
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| Date |
2015-04-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2014.001
10.12775/DEM.2014.001 |
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| Source |
Dynamic Econometric Models; Vol 14 (2014); 5-28
Dynamic Econometric Models; Vol 14 (2014); 5-28 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2014.001/5249
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| Rights |
Copyright (c) 2015 Dynamic Econometric Models
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