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   Articles with "vix" as a keyword



Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model

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recommendations! Published in 2025 at "Journal of Forecasting"

DOI: 10.1002/for.3260

Abstract: This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model,… read more here.

Keywords: har model; vix; tvp har; model ... See more keywords
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Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing

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recommendations! Published in 2018 at "Journal of Futures Markets"

DOI: 10.1002/fut.21919

Abstract: This paper studies the interdependencies between the VIX futures market and the S&P500 and VIX options markets using a model‐free pricing method for VIX futures. We show that the replication strategy for the VIX futures… read more here.

Keywords: p500 vix; vix; vix futures; vix derivatives ... See more keywords

Pricing VIX Futures Under a Markov‐Switching GARCH Framework

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recommendations! Published in 2025 at "Journal of Futures Markets"

DOI: 10.1002/fut.70041

Abstract: We propose a Markov‐switching GARCH framework to describe the VIX series. Unlike previous studies on derivatives pricing, both the conditional mean and conditional variance here are allowed to vary with the market state described by… read more here.

Keywords: vix; framework; switching garch; markov switching ... See more keywords

On general semi-closed-form solutions for VIX derivative pricing

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recommendations! Published in 2024 at "Quantitative Finance"

DOI: 10.1080/14697688.2024.2429424

Abstract: Most pricing methods for VIX futures and European VIX options rely on the existence of the squared VIX moment generating function. Yet this function does not exist for some state-of-the-art option pricing models, which prevents… read more here.

Keywords: vix; form solutions; semi closed; general semi ... See more keywords