论文标题
VIX指数及其衍生物中的高频因果关系：经验证据
High-Frequency Causality in the VIX Index and its derivatives: Empirical Evidence
论文作者
论文摘要
2018年2月，VIX指数有史以来最大的增长，并导致某些与波动率相关的产品造成了巨大损失。尽管做出了许多努力，但确切的根本原因尚未发现。我们研究了线性因果关系在2018年1月和2月在VIX指数及其导数中的作用。由于随机波动率模型的统计推断缺点，波动性期望指数VIX的动力学仍然有争议。利用日内数据，我们发现了描述其相互作用的新颖经验结果。我们发现VIX斑点与标准和POORS 500选项的隐含波动性之间的双向因果关系，这表明反馈效应具有波动性。斑点指数倾向于落后于其自身的未来，而矢量自动式误差校正机制揭示了均值依赖的平衡关系。证据与最近的理论一致，表明隐含的波动性的反馈比实现的波动更强。该论文揭示了追溯性信息流，并突出了VIX衍生物市场微观结构及其相关SNP 500选项的新见解。
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its derivatives during January and February 2018. Due to the shortcomings of statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial. Leveraging intraday data, we discover novel empirical results describing their interaction. We find bidirectional causality between the VIX spot and the implied volatility of Standard and Poors 500 options, suggesting a volatility feedback effect. The spot index tends to be lagging its own futures, while the vector autoregressions error correction mechanism reveals a significant mean-reverting equilibrium relationship. The evidence is consistent with recent theories indicating that implied volatility has stronger feedback than realized volatility. The paper reveals a retroactive information flow and highlights novel insights for the market microstructure of VIX derivatives and their related SnP 500 options.
