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

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 di...

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Bibliographic Details
Published in:	Journal of financial economics Vol. 131; no. 3; pp. 593 - 618
Main Authors:	Bardgett, Chris, Gourier, Elise, Leippold, Markus
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.03.2019 Elsevier Sequoia S.A
Subjects:	Economic models Financial economics Markets Particle filter Prices Risk Risk assessment Risk premiums S&P 500 and VIX joint modeling Securities markets Securities prices Stock market indexes Trading Variance risk premium Volatility Volatility dynamics C58 S&P 500 and VIX joint modeling G13 G12 Particle filter Variance risk premium Volatility dynamics
ISSN:	0304-405X, 1879-2774
Online Access:	Get full text
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