Volatility time structure of VIX futures – modeling and predictive properties
Journal Title: Zarządzanie i Finanse - Year 2013, Vol 11, Issue 2
Abstract
In this paper we try to incorporate information included in volatility time-structure to forecast VIX index. We use daily data of the VIX index and futures contracts on VIX. Results suggest a significant and negative relationship between the lagged slope of volatility time-structure and the current level of VIX. However, on the other hand, this relationship does not translate to significant lower ex-post forecast errors of the future VIX levels.
Authors and Affiliations
Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Ślepaczuk, Piotr Wójcik
Keywords
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