Dynamics in the VIX complex

Anders Merrild Posselt

Journal of Futures Markets, 2022, vol. 42, issue 9, 1665-1687

Abstract: This paper provides a characterization of the dynamic interactions in the Volatility Index (VIX) complex, composed of the VIX itself, the term structure of VIX futures, and VIX exchange‐traded products (ETPs). I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.

Date: 2022
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https://doi.org/10.1002/fut.22290

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1665-1687

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