Article ID Journal Published Year Pages File Type
5084994 International Review of Financial Analysis 2013 34 Pages PDF
Abstract
► 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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
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