CCER讨论稿:VIX Term Structure and VIX Futures Pricing with Realized Volatility

发布日期:2018-01-03 11:30:56    来源:北京大学国家发展研究院

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