Does Historical VIX Term Structure Contain Valuable Information for Predicting VIX Futures?

• Autorzy: Juliusz Jabłecki , Ryszard Kokoszczyński , Paweł Sakowski , Robert Ślepaczuk , Paweł Wójcik

Warianty tytułu

Czy struktura terminowa zmienności zawiera istotne informacje w celu prognozowania zachowania się kontraktów terminowych na zmienność i indeksy giełdowe?

• Języki publikacji: EN

Abstrakty

Badanie pozwoliło nam stwierdzić, że struktura terminowa kontraktów na zmienność (indeks VIX), a konkretniej jej nachylenie, jest zależna od aktualnego poziomu indeksu VIX. W momencie, w którym indeks VIX jest na niskim poziomie (poniżej 20) struktura terminowa ma wysokie dodatnie nachylenie, natomiast w momencie, w którym indeks VIX jest na wysokim poziomie (powyżej 30) to wtedy struktura ma ujemne nachylenie. Wykorzystujemy te obserwacje, aby lepiej przewidywać zachowanie się stóp zwrotu kontraktów terminowych na zmienność. Na początek wprowadzamy miary ilościowe struktury terminowej zmienności (VTS) oraz premii za ryzyko zmienności (VRP). VRP pozwala nam określić stopień odchylenia obecnej struktury terminowej od tzw. modelowej dla danego poziomu indeksu VIX. Zauważamy, że wielkość odchylenia ma istotne własności predykcyjne i dlatego w końcowej części artykułu proponujemy strategie inwestycyjne wykorzystujące tę koncepcję przy budowie algorytmów inwestycyjnych generujących sygnały na rynku kontraktów terminowych na indeks VIX. (abstrakt oryginalny)

EN

We suggest that the term structure of VIX futures shows a clear pattern of dependence on the current level of VIX index. At the low levels of VIX (below 20), the term structure is highly upward sloping, while at the high VIX levels (over 30) it is strongly downward sloping. We use these features to predict future VIX futures prices more precisely. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP). We use them further to estimate the distance between the actual value and the fair (model) value of the VTS. We find that this distance has significant predictive power for volatility futures and index futures and we use this feature to design simple strategies to invest in VIX futures. (original abstract)

Słowa kluczowe

PL

Premia za ryzyko; Indeks giełdowy; Strategia inwestycyjna; Stopa zwrotu; Kontrakty terminowe; Prognozowanie

EN

Risk premium; Stock market indexes; Investment strategy; Rate of return; Fixed-period contracts; Forecasting

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2014
• Tom: 14
• Strony: 5-28

Twórcy

autor

Juliusz Jabłecki

• National Bank of Poland; University of Warsaw

autor

Ryszard Kokoszczyński

• National Bank of Poland; University of Warsaw

autor

Paweł Sakowski

• University of Warsaw, Poland

autor

Robert Ślepaczuk

• University of Warsaw, Poland

autor

Paweł Wójcik

• University of Warsaw, Poland

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Identyfikatory

DOI

10.12775/DEM.2014.001