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Are VIX futures prices predictable? An empirical investigation

Listed author(s):
  • Konstantinidi, Eirini
  • Skiadopoulos, George

This paper investigates whether volatility futures prices per se can be forecasted by studying the fast-growing VIX futures market. To this end, alternative model specifications are employed. Point and interval out-of-sample forecasts are constructed and evaluated under various statistical metrics. Next, the economic significance of the forecasts obtained is also assessed by performing trading strategies. Only weak evidence of statistically predictable patterns in the evolution of volatility futures prices is found. No trading strategy yields economically significant profits. Hence, the hypothesis that the VIX volatility futures market is informationally efficient cannot be rejected.

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File URL: http://www.sciencedirect.com/science/article/pii/S0169207010000087
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 27 (2011)
Issue (Month): 2 ()
Pages: 543-560

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Handle: RePEc:eee:intfor:v:27:y:2011:i:2:p:543-560
DOI: 10.1016/j.ijforecast.2009.11.004
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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