[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v37y2017i7p641-659.html
   My bibliography  Save this article

Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model

Author

Listed:
  • Tianyi Wang
  • Yiwen Shen
  • Yueting Jiang
  • Zhuo Huang
Abstract
We propose a closed‐form pricing formula for the Chicago Board Options Exchange Volatility Index (CBOE VIX) futures based on the classic discrete‐time Heston–Nandi GARCH model. The parameters are estimated using several sets of data, including the S&P 500 returns, the CBOE VIX, VIX futures prices and combinations of these data sources. Based on the resulting empirical pricing performances, we recommend the use of both VIX and VIX futures prices for a joint estimation of model parameters. Such estimation method can effectively capture the variations of the market VIX and the VIX futures prices simultaneously for both in‐sample and out‐of‐sample analysis. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:641–659, 2017

Suggested Citation

  • Tianyi Wang & Yiwen Shen & Yueting Jiang & Zhuo Huang, 2017. "Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(7), pages 641-659, July.
    • Handle: RePEc:wly:jfutmk:v:37:y:2017:i:7:p:641-659
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:37:y:2017:i:7:p:641-659. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.