Volatility information implied in the term structure of VIX
Journal
Journal of Futures Markets
Journal Volume
39
Journal Issue
1
Pages
56-71
Date Issued
2019
Author(s)
Abstract
This study uses multiple maturity-independent variables to examine whether the volatility information implied in the term structure of volatility index can improve the prediction of realized volatility. The empirical results for the S&P 500 index show that, in terms of both the in-sample estimation and out-of-sample forecasting, the term structure variables provide substantial incremental contribution to the models with only level variables. Our empirical results are robust to various forms of volatility, alternative ways to develop the term structure variable, the impact of macroeconomic variables, and alternative underlying assets. ? 2018 Wiley Periodicals, Inc.
Subjects
forecasting
options
term structure
VIX
volatility
SDGs
Type
journal article
File(s)![Thumbnail Image]()
Loading...
Name
fut.21964.pdf
Size
986.19 KB
Format
Adobe PDF
Checksum
(MD5):b86f8840832bb0dfc59ee72bdc2769f5