Continuous-time VIX dynamics: On the role of stochastic volatility of volatility

► We examine the performance of affine and non-affine models for the VIX index. ► Standard models are augmented with a stochastic volatility of volatility factor. ► We find that non-affine models significantly outperform their affine counterparts. ► A volatility of volatility factor can explain VIX dynamics over a 20-year period.