VIX Futures
Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models
... first VIX futures of the Eurostoxx 50 index and, finally and by following Brenner and Galai’s [13] work, the CME start to trade VIX futures in 2003 ...volatility futures for ...
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Improving VIX Futures Forecasts using Machine Learning Methods
... The paper is divided into seven sections. This section is the introduction that provides the motivation and basis for improving VIX futures forecast using machine learning methods. Section 2 describes the ...
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Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
... on VIX futures are not normal, in particular because they have high positive ...and VIX fu- tures ...the VIX futures is 5 business days from expiry, and compare the results when ...
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Asymmetric effects of volatility risk on stock returns:evidence from VIX and VIX futures
... the VIX futures basis to distinguish different ...positive VIX futures basis (i.e. period with VIX spot higher than VIX futures), stocks with higher sensitivities to ...
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The Market for Volatility Trading; VIX Futures
... between VIX futures prices and its underlying spot ...price VIX futures at time t conditional on VIX at time ...average VIX futures price of around ...of VIX ...
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Next Level in Risk Management? Hedging and Trading Strategies of Volatility Derivatives Using VIX Futures
... index VIX can be used as trading and risk management tools for investors and ...how VIX futures and options can hedge equity portfolios and when they are superior to traditional hedging alterna- ...
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VIX and VIX Futures Pricing Algorithms: Cultivating Understanding
... the VIX futures contracts using market information to develop algorithms that aid in clarifying some of the central points in the determination of a ...the VIX and VIX-type ...the VIX ...
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The Predictive Power of the VIX Futures Prices on Future Realized Volatility
... nearest VIX futures contracts is below 10000, and the average daily trading volume for the 9 th nearest VIX futures contracts is less than ...the VIX futures contracts with ...
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Identifying the Differences Between VIX Spot and Futures
... spot VIX and VIX futures are negatively correlated to the equity ...including futures, to hedge market risk. However, VIX futures contracts do not track spot VIX ...using ...
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The Hazards of Volatility Diversification
... using VIX futures and options and SPX put options, claiming that a long volatility exposure is beneficial for diversification and that VIX derivatives are more efficient than an exposure through SPX ...
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Local volatility of volatility for the VIX market
... the VIX spot closed at ...the VIX spot closed at ...corresponding futures quote as well as several Call and Put options ...the VIX futures as an approximate cutoff line between Puts and ...
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Volatility Concepts and Tools in Risk Management and Portfolio Construction
... the VIX futures price data. The addition of the short-term VIX futures to the traditional portfolio does reduce risk, but only with a sacrifice in ...mid-term VIX futures to the ...
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Forecasting Vix
... the VIX index is hard to forecast and does not seem to be very closely connected to the volatility of the underlying ...The VIX index is supposed to measure the market's volatility forecast over the future, ...
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Modeling VXX. First Version: June 2014 This Version: 13 September 2014
... Figure 7 shows the resulting SPVXSTR hourly time series for different rebalancing frequencies from hourly to monthly. We can see in figure 7 that the simulated SPVXSTR time series for hourly and daily rebalancing are ...
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Deterministic shift extension of affine models for variance derivatives
... future VIX (and, therefore, volatility) to rise, is followed by a backwardation phase in which market expects volatility to calm down somehow in the ...of VIX futures is plot- ted against date ...
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Futures Trading and Spot Market Volatility: Evidence from Indian Commodity Markets
... Thus futures trading activity may have inflationary implications on spot prices, which should worry the ...affect futures market trading activity, measured by trading volumes liquidity, indicating a strong ...
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Brookhaven Strategies, LLC
... manager futures funds, is well positioned with low risk and comparatively high return as are Barclay Global Macro Index (BGMI) and Lehman Aggregate Bond Index ...
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Are REIT Returns Hedgeable?
... gold futures contracts, respectively; the a and b are the constant and coefficients to be estimated and e is the regression error ...T-bond futures was relatively more effective in hedging total REIT ...
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The VIX, the Variance Premium and Stock Market Volatility
... Using this information, we winnow down our set of models by requiring a good model to be bolded in at least 3 out of 4 quantitative criteria. This leaves us with only 7 models: level models 1, 4, 8, 10, 11, 13 and 14. ...
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Is the VIX a Reliable Indicator of Stock Market Volatility?
... the VIX during trading hours also have similar effects on changes in the daily range of the market ...the VIX during trading hours leads to an ...the VIX during non-trading hours do have predictive ...
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