Pricing the CBOE VIX Futures with the Heston-Nandi GARCH Model
Pricing the CBOE VIX Futures with the Heston-Nandi GARCH Model
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使用 Heston–Nandi GARCH 模型对 CBOE VIX 期货进行定价
DOI：
10.1002/fut.21820
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发表时间：
2017
影响因子：
1.9
通讯作者：
Huang Zhuo
中科院分区：
文献类型：
--
作者：
Wang Tianyi;Shen Yiwen;Jiang Yueting;Huang Zhuo
我们提出了基于经典离散时间 Heston-Nandi GARCH 模型的芝加哥期权交易所波动率指数 (CBOE VIX) 期货的封闭式定价公式。这些参数是使用多组数据估算的，包括标准普尔 500 指数回报率、CBOE VIX、VIX 期货价格以及这些数据源的组合。根据所得的经验定价表现，我们建议使用 VIX 和 VIX 期货价格来联合估计模型参数。这种估计方法可以有效地同时捕捉市场VIX和VIX期货价格的变化，进行样本内和样本外分析。 © 2016 Wiley periodicals, Inc. Jrl Fut Mark 37:641–659, 2017
We propose a closed‐form pricing formula for the Chicago Board Options Exchange Volatility Index (CBOE VIX) futures based on the classic discrete‐time Heston–Nandi GARCH model. The parameters are estimated using several sets of data, including the S&P 500 returns, the CBOE VIX, VIX futures prices and combinations of these data sources. Based on the resulting empirical pricing performances, we recommend the use of both VIX and VIX futures prices for a joint estimation of model parameters. Such estimation method can effectively capture the variations of the market VIX and the VIX futures prices simultaneously for both in‐sample and out‐of‐sample analysis. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:641–659, 2017