Long Memory in VIX Futures Volatility
(2013) In Review of Futures Markets 21(1). p.31-48- Abstract
- This study provides empirical evidence for long memory in the volatility process of VIX futures returns and investigates the practical importance of modelling it when calculating Value-at-Risk (VaR) for VIX futures and pricing VIX options. The analysis is performed using the GARCH, APARCH, FIGARCH and FIAPARCH models with the normal and skewed Student-t distributions. The VaR analysis shows that the long memory FIGARCH and FIAPARCH models produce the best out-of-sample VaR forecasts. The options analysis, however, shows that the long memory in the volatility has an insignificant impact on the prices of hypothetical VIX options.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4193130
- author
- Huskaj, Bujar LU
- organization
- publishing date
- 2013
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Review of Futures Markets
- volume
- 21
- issue
- 1
- pages
- 31 - 48
- publisher
- Chicago Board of Trade
- ISSN
- 0898-011X
- language
- English
- LU publication?
- yes
- id
- 6e40af09-b3d4-40cb-9a21-35826c115593 (old id 4193130)
- date added to LUP
- 2016-04-04 09:22:49
- date last changed
- 2018-11-21 20:52:41
@article{6e40af09-b3d4-40cb-9a21-35826c115593, abstract = {{This study provides empirical evidence for long memory in the volatility process of VIX futures returns and investigates the practical importance of modelling it when calculating Value-at-Risk (VaR) for VIX futures and pricing VIX options. The analysis is performed using the GARCH, APARCH, FIGARCH and FIAPARCH models with the normal and skewed Student-t distributions. The VaR analysis shows that the long memory FIGARCH and FIAPARCH models produce the best out-of-sample VaR forecasts. The options analysis, however, shows that the long memory in the volatility has an insignificant impact on the prices of hypothetical VIX options.}}, author = {{Huskaj, Bujar}}, issn = {{0898-011X}}, language = {{eng}}, number = {{1}}, pages = {{31--48}}, publisher = {{Chicago Board of Trade}}, series = {{Review of Futures Markets}}, title = {{Long Memory in VIX Futures Volatility}}, volume = {{21}}, year = {{2013}}, }