This paper proposes a simple but rich framework to directly price volatility index (VIX) futures by applying the heterogeneous autoregressive structure and asymmetric jumps to the logarithm of the VIX. Compared with other discrete‐time models, our model imposes fewer parameter constraints. The analytical solution is also free from time‐consuming and sometimes unstable numerical integration. Empirical results suggest that our model can significantly reduce pricing errors compared with existing models using realized variance, both in‐ and out‐of‐sample. The improvement indicates that besides looking for a better measure of current volatility, it is also important to utilize information embedded in the VIX itself.

中文翻译：

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捷径：利用离散时间长存储模型和非对称跳跃直接对VIX期货定价

本文提出了一个简单而丰富的框架，通过应用异构自回归结构和不对称跳至VIX的对数来直接对价格波动指数（VIX）进行期货交易。与其他离散时间模型相比，我们的模型施加了更少的参数约束。分析解决方案也无需费时，有时甚至不稳定的数值积分。实证结果表明，与现有模型相比，使用样本内和样本外的已实现方差，我们的模型可以显着减少定价误差。改进表明，除了寻找更好的当前波动率度量外，利用嵌入在VIX本身中的信息也很重要。