The Term Structure of VIX

@inproceedings{Luo2012TheTS,
  title={The Term Structure of VIX},
  author={Xingguo Luo and Jin E. Zhang},
  year={2012}
}
We extend the concept of CBOE constant 30-day VIX to other maturities and construct daily VIX term structure data from starting date available to August 2009. We propose a simple yet powerful two-factor stochastic volatility framework for VIXs. Our empirical analysis indicates that the framework is good at both capturing time-series dynamics of VIXs and generating rich cross-sectional shape of the term structure. In particular, we show that the two time-varying factors may be interpreted as… CONTINUE READING
BETA

References

Publications referenced by this paper.
SHOWING 1-10 OF 23 REFERENCES

Towards a theory of volatility trading. In Robert Jarrow (Ed.), Volatility estimation techniques for pricing derivatives, London: Risk Books

  • Carr, Peter, Dilip Madan
  • 1998
Highly Influential
12 Excerpts

Similar Papers

Loading similar papers…