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sidenav header backgroundCCER讨论稿：VIX Term Structure and VIX Futures Pricing with Realized Volatility
发布日期：2018-01-03 11:30 来源：大陆成人直播-成人直播中文
E2018002 2018-0103
VIX Term Structure and VIX Futures Pricing with Realized Volatility
Zhuo Huang
National School of Development, Peking University
Chen Tong
National School of Development, Peking University
Tianyi Wang
School of Banking and Finance, University of International Business and Economics
Abstract
Using an extended LHARG model proposed by Majewski et al. (2015), we derive the closed-form pricing formulas for both the CBOE VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high frequency data, the proposed model provides superior pricing performance compared with the classic Heston-Nandi GARCH model, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods.
论文下载： E2018002
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大陆成人直播
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出版物展开 / 收起
sidenav background出版物
sidenav header backgroundCCER讨论稿：VIX Term Structure and VIX Futures Pricing with Realized Volatility
发布日期：2018-01-03 11:30 来源：大陆成人直播-成人直播中文
E2018002 2018-0103
VIX Term Structure and VIX Futures Pricing with Realized Volatility
Zhuo Huang
National School of Development, Peking University
Chen Tong
National School of Development, Peking University
Tianyi Wang
School of Banking and Finance, University of International Business and Economics
Abstract
Using an extended LHARG model proposed by Majewski et al. (2015), we derive the closed-form pricing formulas for both the CBOE VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high frequency data, the proposed model provides superior pricing performance compared with the classic Heston-Nandi GARCH model, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods.
论文下载： E2018002
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