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Dynamics in the VIX complex

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  • Anders Merrild Posselt

Abstract

This paper provides a characterization of the dynamic interactions in the Volatility Index (VIX) complex, composed of the VIX itself, the term structure of VIX futures, and VIX exchange‐traded products (ETPs). I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand it with the VIX and VIX futures demand stemming from VIX ETPs. I find evidence of VIX ETPs impacting the VIX futures term structure, but no evidence of any impacts on the VIX.

Suggested Citation

  • Anders Merrild Posselt, 2022. "Dynamics in the VIX complex," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1665-1687, September.
    • Handle: RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1665-1687
    DOI: 10.1002/fut.22290
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