Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

• 成果类型: Article
• 署名作者: Bardgett, Chris; Gourier, Elise; Leippold, Markus
• 署名单位: University of Zurich; ESSEC Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.09.008
• 发表日期: 2019
• 页码: 593-618
• 关键词: S&P 500 and VIX joint modeling; Volatility dynamics; particle filter; Variance risk premium

摘要

We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model's in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the term structure of the variance risk premium, present a trading strategy exploiting these insights, and show how to improve S&P 500 return forecasts. (C) 2018 Elsevier B.V. All rights reserved.