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• W2938559780 abstract "Volatility Index (VIX) futures are among the most actively traded contracts at the Chicago Board Options Exchange, in response to the growing need for protection against volatility risk. The authors develop a new class of discrete-time and closed-form VIX futures pricing models, in which the S&P 500 returns follow the time-varying infinite-activity Normal Inverse Gaussian (NIG) and finite-activity compound Poisson (CP) jump-GARCH models, and which are risk-neutralized by the variance-dependent pricing kernel used by Christoffersen et al. (2013). They estimate these models using several data sets, including the S&P 500 returns, VIX Index, and VIX futures. The empirical results indicate that the time-varying NIG and CP jump-GARCH models significantly outperform the Heston-Nandi (HN) GARCH model in asset returns fitting and VIX futures pricing. <b>TOPICS:</b>Futures and forward contracts, derivatives" @default.
• W2938559780 created "2019-04-25" @default.
• W2938559780 creator A5061174949 @default.
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• W2938559780 date "2019-04-19" @default.
• W2938559780 modified "2023-09-27" @default.
• W2938559780 title "VIX Futures Pricing with Affine Jump-GARCH Dynamics and Variance-Dependent Pricing Kernels" @default.
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• W2938559780 doi "https://doi.org/10.3905/jod.2019.1.075" @default.
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