Earticle

초록

영어

The study indicates that a continuous component and infinite activity jumps are present in the ultra-high frequency VIX data, especially when taking into account the impact of market microstructure noise on various statistics. The degree of jump activity is in the range from 1.71 to 1.95, indicating a very high degree of jump activity. The total quadratic variation can be split into a continuous component of 29% and a jump component of 71%, which by construction is attributable to small and large jumps. The study further examines two jump-diffusion models in the Lévy process class using front-month VIX futures data from Q2 2006 to Q3 2009. Using one-day lagged structural parameters, modeling finite-activity jumps is important for pricing. But for simple trading strategies, incorporating infinite-activity jumps yields the best performance with an average absolute error of one-and-a-half to two volatility points each day.

목차

Abstract
 1. Introduction
 2. Methodology
  2.1 Measurement Device
  2.2 Data
 3. Empirical Results
  3.1 Jumps: Present or Not
  3.2 Jumps: Finite or Infinite Activity
  3.3 Brownian Motion: Present or Not
  3.4 Relative Magnitude of the Components
  3.5 Estimating the Degree of Jump Activity
 4. Implications for VIX Futures
  4.1 VIX Futures Pricing with Lévy Processes
  4.2 VIX Futures Pricing with Jump-Diffusion Processes
  4.3 Estimation Procedure and In-Sample Pricing Fit
  4.4 Out-of-Sample Pricing Performance
  4.5 Trading Strategies Based on Mispriced VIX Futures
 5. Conclusions
 References
 Table
 Figure

키워드

저자

• Yueh-Neng Lin [ Department of Finance National Chung Hsing University 250, Kuo-Kuang Road, Taichung, Taiwan ]
• Jeremy C. Goh [ Lee Kong Chian School of Business Singapore Management University 50 Stamford Road, Singapore 178899 ]

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간행물

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330