淡江大學機構典藏:Item 987654321/126752
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    题名: Empirical Performance of Component GARCH Models in Pricing VIX Term Structure and VIX Futures
    作者: Hung-Wen Cheng;Li-Han Chang;Chien-Ling Lo;Jeffrey Tzuhao Tsai
    关键词: VIX;VIX term structure;VIX futures;GARCH;Long-run variance
    日期: 2023-03-11
    上传时间: 2025-03-20 09:23:01 (UTC+8)
    摘要: Under the component GARCH model of Christoffersen et al. (2008), this research provides the
    analytical pricing formulae of the VIX term structure and VIX futures, points out the zero-risk
    premium feature in the fully persistent model of Christoffersen et al. (2008), and examines
    the pricing performances of eight nested models. Our empirical results show that decomposing conditional variance into long-run and short-run components may not be successful in describing S&P 500 Index returns, volatility indices, and VIX futures prices. Lastly, we conduct trading strategies in the VIX futures market to evaluate the economic significance of model predictions.
    關聯: Journal of Empirical Finance 72,　p.122-142
    DOI: 10.1016/j.jempfin.2023.03.005
    显示于类别:[財務金融學系暨研究所] 期刊論文

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