| Summary: | 碩士 === 國立中興大學 === 財務金融系所 === 94 === VIX futures was launched by CBOE on 26 March 2006. Since its underlying VIX (volatility index), or equivalently the model-free implied volatility of S&P 500 index options, is not tradable, it is impossible to use the no-arbitrage relationship to derive the fair value of the VIX futures. This study is aimed to use alternate datasets, including integrated volatility, time-series VIX data and S&P 500 index options, to estimate the parameters of VIX model, using the GMM methodology. The theoretical relationships between alternate datasets and corresponding moment conditions are provided in this study.
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