https://scholars.lib.ntu.edu.tw/handle/123456789/414894
Title: | Volatility information implied in the term structure of VIX | Authors: | Chang K.-J. Hung M.-W. Wang Y.-H. MAO-WEI HUNG |
Keywords: | forecasting;options;term structure;VIX;volatility | Issue Date: | 2019 | Journal Volume: | 39 | Journal Issue: | 1 | Start page/Pages: | 56-71 | Source: | Journal of Futures Markets | 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. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414894 | ISSN: | 02707314 | DOI: | 10.1002/fut.21964 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056096552&doi=10.1002%2ffut.21964&partnerID=40&md5=c6606fe2b1cfffb07f0193df0d3b4236 |
Appears in Collections: | 財務金融學系 |
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fut.21964.pdf | 986.19 kB | Adobe PDF | View/Open |
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