%0 Journal Article %1 FUT:FUT21572 %A Luo, Xingguo %A Zhang, Jin E. %D 2012 %J Journal of Futures Markets %K VIX quantfinance statistics volatility %N 12 %P 1092--1123 %R 10.1002/fut.21572 %T The Term Structure of VIX %U http://dx.doi.org/10.1002/fut.21572 %V 32 %X In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30-day to any arbitrary time-to-maturity, and study the term structure of VIX. We propose new concepts of instantaneous and long-term squared VIXs as the limits at the short and long ends of the term structure respectively. Modeling the volatility process with instantaneous and long-term squared VIXs, we establish a parsimonious approach to capture information contained in the term structure of VIX. Our study provides an efficient setup to further study the pricing of VIX derivatives and their relation with S&P 500 options.

@article{FUT:FUT21572, abstract = {In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30-day to any arbitrary time-to-maturity, and study the term structure of VIX. We propose new concepts of instantaneous and long-term squared VIXs as the limits at the short and long ends of the term structure respectively. Modeling the volatility process with instantaneous and long-term squared VIXs, we establish a parsimonious approach to capture information contained in the term structure of VIX. Our study provides an efficient setup to further study the pricing of VIX derivatives and their relation with S&P 500 options.}, added-at = {2015-07-07T19:49:48.000+0200}, author = {Luo, Xingguo and Zhang, Jin E.}, biburl = {https://www.bibsonomy.org/bibtex/2e0bf1dd18515150db8aa5758f2d87a2e/shabbychef}, description = {The Term Structure of VIX - Luo - 2012 - Journal of Futures Markets - Wiley Online Library}, doi = {10.1002/fut.21572}, interhash = {a92c6a39decdb348e9b87356329c4875}, intrahash = {e0bf1dd18515150db8aa5758f2d87a2e}, issn = {1096-9934}, journal = {Journal of Futures Markets}, keywords = {VIX quantfinance statistics volatility}, number = 12, pages = {1092--1123}, timestamp = {2015-07-07T19:49:48.000+0200}, title = {The Term Structure of VIX}, url = {http://dx.doi.org/10.1002/fut.21572}, volume = 32, year = 2012 }