活動起日：2015-04-28 發佈日期：2015-04-28 瀏覽數：1218 2017-02-12 更新
臺大財金系擬於5/5(二)邀請Prof. Robert I. Webb至本所進行演講，相關訊息如下：
時間: 5/5(二) 上午10:30-12:00
地點: 臺大管理學院一號館 2F 冠德講堂
講題: On the Intraday Relation Between the VIX and Its Futures
We study the intraday dynamics of the VIX and VXF for the period January 2, 2008 to December 31, 2014. Considering first the results of a Vector Autoregression (VAR) using daily data, we observe that there is some evidence of causality from the VXF to the VIX. Estimating a VAR using our ultra-high frequency data, we find strong evidence for bi-directional Granger causality between the VIX and the VXF. Overall, this effect appears to be stronger from the VXF to the VIX than the other way around. Impulse response functions and variance decompositions confirm the dominance of the VXF. Lastly, we show that the causality from the VXF to the VIX has been increasing over our sample period, whereas the reverse causality has been decreasing. We observe that the VIX futures have become increasingly more important in the pricing of volatility. We further document that the VIX futures dominate the VIX more on days with negative returns, and on days with high values of the VIX, suggesting that those are the days when investors use VIX futures to hedge their positions rather than trading in the S&P500 index options.