Forecasting the Forecaster : Relationship between VIX Futures and Spot VIX Indexes

This study examines the price discovery role of VIX futures in determining the levels of various spot VIX series. We analyze both the short-term linkage using the bivariate Granger causality model as well as the long-term linkage using the Johansen cointegration model with a vector error correction mechanism. We find that there is no lead-lag relationship in the short-term between the VIX futures and the VIX spot index, suggesting that they are informationally efficient. On the contrary, the nine sector-level VIXs lag the VIX futures, offering some price discovery functionality. In the long run, we show VIX futures, and the various spot-level VIX series are cointegrated