波动率指数的动态

Econometric Modeling: Derivatives eJournal Pub Date : 2021-01-06 DOI:10.2139/ssrn.3723728

Anders Merrild Posselt

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引用次数: 1

摘要

本文提供了波动率指数综合体中动态相互作用的特征，该综合体由波动率指数本身、波动率指数期货的期限结构和波动率指数交易所交易产品组成。我研究了一个模型，该模型使用潜在因素(水平、斜率和曲率)总结了VIX期货期限结构，并将其扩展为VIX和源自VIX etp的VIX期货需求。我发现波动率指数etp影响波动率指数期货期限结构的证据，但没有证据表明对波动率指数有任何影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Dynamics in the VIX Complex

This paper provides a characterization of the dynamic interactions in the VIX complex, composed of the VIX itself, the term structure of VIX futures, and VIX ETPs. I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.

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Econometric Modeling: Derivatives eJournal

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