An Investigation of the Lead-Lag Relationship between the VIX Index and the VIX Futures on the S&P500

This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are applied. The results suggest that VIX futures lead spot VIX index, which implies that VIX futures market seems to play a more important role in price discovery

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Year of publication:	2019
Authors:	Karagiannis, Sotirios
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Aktienindex \| Stock index \| Volatilität \| Volatility \| Index-Futures \| Index futures \| Schätzung \| Estimation \| Börsenkurs \| Share price \| Futures