Are VIX futures prices predictable? An empirical investigation

Konstantinidi, Eirini; Skiadopoulos, George

doi:10.1016/j.ijforecast.2009.11.004

Cited by 54 publications

(40 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Prior research has used daily data to (partially) address this question (see e.g. Konstantinidi, Skiadopolous and Tzagkaraki, 2008;Konstantinidi and Skiadopolous, 2011;and Shu and Zhang, 2012). However, inferring informational efficiency and leadership is difficult using daily data as informational asymmetries between the markets could vanish in the data aggregation.…”

Section: Introductionmentioning

confidence: 99%

On the Intraday Relation Between the VIX and its Futures

Frijns

Tourani‐Rad

Webb

2015

Journal of Futures Markets

View full text Add to dashboard Cite

We study the intraday dynamics of the VIX and VXF for the period January 2, 2008 to December 31, 2012. Applying a Vector Autoregression (VAR) model on daily data, we observe some evidence of causality from the VXF to the VIX. However, estimating a VAR using our ultra-high frequency data, we find strong evidence for bi-directional Granger causality between the VIX and the VXF. Overall, this effect appears to be stronger from the VXF to the VIX than the other way around. Impulse response functions and variance decompositions analysis further confirm the dominance of the VXF. Lastly, we show that the causality from the VXF to the VIX has been increasing over our sample period, whereas the reverse causality has been decreasing. This finding suggests that the VIX futures have become increasingly more important in the pricing of volatility. We further document that the VIX futures dominate the VIX more on days with negative returns, and on days with high values of the VIX, suggesting that on those days investors use VIX futures to hedge their positions rather than trading in the S&P 500 index options.

show abstract

Section: Introductionmentioning

confidence: 99%

On the Intraday Relation Between the VIX and its Futures

Frijns

Tourani‐Rad

Webb

2015

Journal of Futures Markets

View full text Add to dashboard Cite

show abstract

“…Yang and Liu (2012) investigates the predictive power of TVIX implied volatility index in the Taiwan stock market, they show that implied volatility index also hold the predictive power to forecast the future market volatility like the implied volatility of call and put options and they conclude that TVIX is an effective indicator of future volatility in the emerging markets. The studies (Daigler and Rossi 2006;Konstantinidia et al 2008;Szado 2009;Chung et al 2011;Konstantinidi and Skiadopoulos 2011;Shu and Zhang 2012) have demonstrated the informational efficiency of implied volatility index and shown that volatility products (say VIX F&Os) are helpful in the price discovery and portfolio risk management.…”

Section: Introductionmentioning

confidence: 99%

The information content of implied volatility index (India VIX)

Shaikh

Padhi

2013

Glob Bus Perspect

View full text Add to dashboard Cite

This paper examines the predictive ability of India VIX as the best forecast of realized return volatility. This study takes into account the implied volatility index (India VIX), also known as the investors fear gauge index. We have employed OLS, 2SLS procedure and quantile regression to study the predictive power of implied volatility index. Empirical results show that India VIX is the best estimate of future realized return volatility. The Hausman specification test analyzes that implied volatility is measured with the errors; consequently, instrumental variable technique is used. The 2SLS estimation procedure shows that 2SLS estimates are more consistent than the simple OLS. Finally, the 2SLS procedure explains that historical volatility does not contain valuable information what already contained in the implied volatility. The implied volatility best subsumes the marketwide information to explain the future volatility. This study explains that Asian implied volatility indices also subsumes the information regarding the future volatility like the US and European volatility indices.

show abstract

“…Several studies have explored the pricing of VIX options and futures under various approaches (see Zhang and Zhu, 2006;Seep, 2008;Lin and Chang, 2009;Zhang et al, 2010;Wang and Daigler, 2011). In contrast to the studies of the theoretical models, Konstantinidi et al (2008) and Konstantinidi and Skiadopoulos (2011) investigated the information efficiency of the VIX futures. Shu and Zhang (2011) suggested that although the VIX futures have some price-discovery function, overall the VIX futures market is still considered informationally efficient.…”

Section: Background and Related Workmentioning

confidence: 99%

The Forecasting Power of the Volatility Index in Emerging Markets: Evidence from the Taiwan Stock Market

Yang¹,

Liu²

2012

IJEF

View full text Add to dashboard Cite

This paper explores the predictive power of the volatility index (VIX) in emerging markets from December 2006 to March 2010. The results of the study show that the models including both the volatility indicator and the option market information have a stronger predictive power. The predictive power of the models is improved by 88% in explaining the future volatility of stock markets, much better than that of other models merely considering the volatility indicator. With respect to the trading information from different types of investors in option markets, the trading information from the foreign institutional investors in option markets demonstrates a significantly positive relationship with the stock market volatility. In addition, the results of this paper also reveal that the volatility index (TVIX) of Taiwan stock index options is a strong indicator of future stock market volatility. The TVIX outperforms the historical volatility and the GARCH volatility forecast in assessing the activities of Taiwan's stock market.

show abstract

Are VIX futures prices predictable? An empirical investigation

Cited by 54 publications

References 45 publications

On the Intraday Relation Between the VIX and its Futures

On the Intraday Relation Between the VIX and its Futures

The information content of implied volatility index (India VIX)

The Forecasting Power of the Volatility Index in Emerging Markets: Evidence from the Taiwan Stock Market

Contact Info

Product

Resources

About