%0 Journal Article %1 zhangfutures %A Zhang, Jin E. %A Zhu, Yingzi %D 2006 %I SSRN %J Journal of Futures Markets %K VIX quantfinance volatility %N 6 %P 521-531 %T VIX Futures %V 26 %X VIX futures are exchange-traded contracts on a future volatility index level (VIX) derived from a basket of SPX stock index options. The paper posits a stochastic variance model of VIX time evolution, and develops an expression for VIX futures. Free parameters are estimated from market data over the past few years. It is found that the model with parameters estimated from the whole period from 1990 to 2005 overprices the futures contracts by 16-44%. But the discrepancy is dramatically reduced to 2-12% if the parameters are estimated from the most recent one-year period.

@article{zhangfutures, abstract = {VIX futures are exchange-traded contracts on a future volatility index level (VIX) derived from a basket of SPX stock index options. The paper posits a stochastic variance model of VIX time evolution, and develops an expression for VIX futures. Free parameters are estimated from market data over the past few years. It is found that the model with parameters estimated from the whole period from 1990 to 2005 overprices the futures contracts by 16-44%. But the discrepancy is dramatically reduced to 2-12% if the parameters are estimated from the most recent one-year period.}, added-at = {2015-07-07T19:47:41.000+0200}, author = {Zhang, Jin E. and Zhu, Yingzi}, biburl = {https://www.bibsonomy.org/bibtex/2dd49fc9e8ad0c567269b96faba4dcc1e/shabbychef}, description = {VIX Futures by Jin E. Zhang, Yingzi Zhu :: SSRN}, interhash = {3efd1eb76137559ecf9646fb8ef14dbc}, intrahash = {dd49fc9e8ad0c567269b96faba4dcc1e}, journal = {Journal of Futures Markets}, keywords = {VIX quantfinance volatility}, language = {English}, location = {http://ssrn.com/paper=785624}, number = 6, pages = {521-531}, publisher = {SSRN}, timestamp = {2015-07-07T19:47:41.000+0200}, title = {{VIX Futures}}, type = {Accepted Paper Series}, volume = 26, year = 2006 }