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讨论稿No.E2015008:Pricing CBOE VIX Futures with the Heston-Nandi GARCH Model

发布日期:2015-12-02 08:32    来源:北京大学国家发展研究院

 

TIAN-YI WANG   YI WEN SHEN   YUE TING JIANG   ZHUO HUANG

 No.E2015008                           November 2015

                       

Abstract
In this article, we propose a closed-form pricing formula for the Chicago Board of Option Exchange Volatility Index (VIX) futures based on the classic discrete-time Heston-Nandi GARCH model. The parameters are estimated through different data sets including S&P 500 returns, VIX, VIX futures, and their combination. We find that the parameters estimated by jointly using VIX and VIX futures can effciently capture the information for both implied VIX and VIX futures prices.

Keywords: Implied VIX, VIX futures, Heston-Nandi GARCH, Risk-neutral measure
JEL classification: C19;C22;C80

E2015008