Volatility components: The term structure dynamics of VIX futures

Zhongjin Lu and Yingzi Zhu

Journal of Futures Markets, 2010, vol. 30, issue 3, 230-256

Abstract: In this study we empirically study the variance term structure using volatility index (VIX) futures market. We first derive a new pricing framework for VIX futures, which is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and maximum likelihood method for model estimations and comparisons. We provide evidence that a third factor is statistically significant for variance term structure dynamics. We find that our parameter estimates are robust and helpful to shed light on economic significance of variance factor model. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:230–256, 2010

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:30:y:2010:i:3:p:230-256

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().