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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets / George O. Aragon, Rajnish Mehra, Sunil Wahal.
- Format:
- Book
- Author/Creator:
- Aragon, George O.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w24575.
- NBER working paper series no. w24575
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2018.
- Summary:
- The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is independent time series predictability in VIX futures prices. The answer to both questions is no. Samuelson (1965) was right: VIX futures prices properly anticipate predictability in volatility, and are themselves unpredictable.
- Notes:
- Print version record
- May 2018.
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