Continuous-time VIX dynamics: on the role of stochastic volatility of volatility

Continuous - time VIX dynamics : On the role of stochastic volatility 6 of volatility

E 25 26 27 28 29 30 31 32 33 34 Article history: Received 15 November 2012 Received in revised form 25 January 2013 Accepted 29 January 2013 Available online xxxx JEL classification: C15 C32 G13 G15

Price and Volatility Dynamics Implied by the VIX Term Structure

A particle-filter based estimation method is developed for the stochastic volatility model with/without jumps and applied on the S&P 500 index value and the VIX term structure jointly. The model encompasses all mean-reverting stochastic volatility option pricing models with a constant elasticity of variance, and can allow for price jumps. Our contention is that using the VIX term structure in e...

The Term Structure of VIX

We extend the concept of CBOE constant 30-day VIX to other maturities and construct daily VIX term structure data from starting date available to August 2009. We propose a simple yet powerful two-factor stochastic volatility framework for VIXs. Our empirical analysis indicates that the framework is good at both capturing time-series dynamics of VIXs and generating rich cross-sectional shape of ...

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX*

* The authors are most grateful to two referees for helpful comments and suggestions. Abstract This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied (or expected) volatility index (VIX). Intraday hig...

DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX