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The Front End of The VIX Term Structure and Forward Realised Volatility by luca.verzeni99 is a document available to read on EtoBox.

What is The Front End of The VIX Term Structure and Forward Realised Volatility about?

The document analyzes the VIX futures term structure, revealing that inversions occur on 7.75% of trading days and provide valuable forecasting information for forward realized volatility. It emphasizes that the depth of inversion, particularly at the front end of the term structure, enhances predictive accuracy beyond the conventional VIX measure. The findings suggest that the VIX term structure

Author

luca.verzeni99

Language

EN