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	Double-jump diffusion model for VIX: evidence from VVIX
	Zang, Xin ; Ni, Jun ; Huang, Jing-Zhi ; Wu, Lan
	2017
关键词	Volatility indices Volatility proxy Co-jump Monte Carlo Markov chain Bayesian analysis STOCHASTIC VOLATILITY MODELS TERM STRUCTURE OPTION PRICES DERIVATIVES
英文摘要	This paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jumps in the logarithm of VIX, we derive a linear relationship between the stochastic volatility factor and the VVIX index. We detect the existence of a co-jump of VIX and VVIX and put forward a double-jump stochastic volatility model for VIX through its joint property with VVIX. Using the VVIX index as a proxy for stochastic volatility, we use the MCMC method to estimate the dynamics of VIX. Comparing nested models of VIX, we show that the jump in VIX and the volatility factor are statistically significant. The jump intensity is also stochastic. We analyse the impact of the jump factor on VIX dynamics.; China Scholarship Council (CSC) [201406010004]; SCI(E); SSCI; ARTICLE; 2; 227-240; 17
语种	英语
出处	SCI
出版者	QUANTITATIVE FINANCE
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/469398]
专题	数学科学学院
推荐引用方式 GB/T 7714	Zang, Xin,Ni, Jun,Huang, Jing-Zhi,et al. Double-jump diffusion model for VIX: evidence from VVIX. 2017-01-01.

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