Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/85217
DC FieldValueLanguage
dc.creatorChia-Lin Changen_US
dc.creatorJuan-Angel Jimenez-Martinen_US
dc.creatorMichael McAleeren_US
dc.creatorTeodosio Perez Amaralen_US
dc.date2013-09zh_TW
dc.date.accessioned2014-12-03T06:17:32Z-
dc.date.available2014-12-03T06:17:32Z-
dc.identifier.urihttp://hdl.handle.net/11455/85217-
dc.description.abstractModelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility, and hence also an important barometer of investor sentiment and market volatility. Investors interpret the VIX cash index as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk with VIX derivatives, with views on whether volatility will increase or decrease in the future, while hedgers can use volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed in recent years. An alternative volatility derivative to VIX is the S&P500 variance futures, which is an expectation of the variance of the S&P500 cash index. Variance futures are futures contracts written on realized variance, or standardized variance swaps. The S&P500 variance futures are not model based, so the assumptions underlying the index do not seem to have been clearly understood. As variance futures are typically thinly traded, their returns and volatility are not easy to model accurately using a variety of volatility model specifications. This paper analyses the volatility in S&P500 3-month and 12-month variance futures Before, During and After the GFC, as well as for the full data period, for each of three alternative conditional volatility models and three densities, in order to determine whether exposure to risk can be incorporated into a financial portfolio without taking positions on the S&P500 index itself.en_US
dc.format.medium期刊論文zh_TW
dc.language.isoen_USzh_TW
dc.relationThe North American Journal of Economics and Finance, Volume 25, Page(s) 151-167.en_US
dc.relation.urihttp://dx.doi.org/10.1016/j.najef.2012.06.011-
dc.subjectRisk managementen_US
dc.subjectFinancial derivativesen_US
dc.subjectFuturesen_US
dc.subjectOptionsen_US
dc.subjectSwapsen_US
dc.subject3-Month variance futuresen_US
dc.subject12-Month variance futuresen_US
dc.subjectRisk exposureen_US
dc.subjectVolatilityen_US
dc.titleThe rise and fall of S&P500 variance futuresen_US
dc.identifier.doi10.1016/j.najef.2012.06.011zh_TW
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