Forecasting and Trading VIX Futures
碩士 === 國立中正大學 === 財務金融所 === 97 === This paper probe into the pricing of VIX Futures, theoretical model and linear model were include, and we examined the profitability of the VIX future pricing models provided by Shu and Zhang (2007) and Zhang and Huang (2008); the pricing modle follow the method an...
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41114812543708385873 |
| Summary: | 碩士 === 國立中正大學 === 財務金融所 === 97 === This paper probe into the pricing of VIX Futures, theoretical model and linear model were include, and we examined the profitability of the VIX future pricing models provided by Shu and Zhang (2007) and Zhang and Huang (2008); the pricing modle follow the method and establish the relationship between VIX Future prices and the VIX index; then test economic significance of model estimated from out of sample with transaction friction were taken in consideration, and the result show theoretical model of Vix Futures has more predict power and highest cumulative return.
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