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Three Essays on the VIX Index.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Three Essays on the VIX Index./
作者:	Arnatt, Richard Anthony.
面頁冊數:	1 online resource (145 pages)
附註:	Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Contained By:	Dissertation Abstracts International79-10A(E).
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9780438040137

Three Essays on the VIX Index.
Arnatt, Richard Anthony.

Three Essays on the VIX Index. - 1 online resource (145 pages)

Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.

Thesis (Ph.D.)--The University of Alabama, 2018.

Includes bibliographical references

This dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange's (CBOE) index representing S&P 500 Index implied volatility.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780438040137Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Three Essays on the VIX Index.
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504 $a Includes bibliographical references
520 $a This dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange's (CBOE) index representing S&P 500 Index implied volatility.
520 $a The first essay looks at the performance of VIX-related Exchange Traded Notes (ETN). These instruments benchmarked to futures prices are designed to give exposure to stock market volatility. Performance has been poor, owing to the upward sloping nature of the VIX futures curve. The introduction of the notes appears to have coincided with a fundamental change in the pricing of VIX futures, resulting in a steeper futures curve and worse performance for ETNs than would have occurred previously. A strategy of carrying out the reverse of the trades represented by the underlying benchmark is shown to be profitable. The extent to which ETN managers cover their positions appears correlated with the slope of the futures curve.
520 $a The second essay asks if volatility indices predict realized volatility. I find that the VIX Index tends to overstate subsequent realized S&P 500 Index volatility and shows mild predictive value. The VVIX Index, a measure of VIX Index implied volatility, tends to understate realized VIX Index volatility and has little predictive value. I demonstrate that the volatility indices do not, however, by construction, directly reflect interperiod volatility as measured by standard deviation.
520 $a The third essay looks at the problem of analyzing futures prices in the specific case of the VIX Index. The maturity of futures contracts change continuously, which poses problems for assessing notional futures prices of specified maturity and the shape of the futures curve. Benchmarks for VIX-related ETNs use linear interpolation of the futures prices nearest to the desired maturity to provide a notional value for a futures contract of 30 or 90 days duration. I show that this does not reflect the true shape of the futures curve. I apply a method designed by Charles Nelson and Andrew Siegel for modeling yield curves to the VIX futures term structure. This gives a better estimate for prices of notional contracts of specific maturity than linear interpolation, and reflects the non-linear, asymptotic nature of the futures curve.
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538 $a Mode of access: World Wide Web
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