PT  - JOURNAL ARTICLE
AU  - Athanasios P. Fassas
AU  - Costas Siriopoulos
TI  - The Efficiency of the VIX Futures Market:<br/>
               <em>A Panel Data Approach</em>
AID  - 10.3905/jai.2012.14.3.055
DP  - 2011 Dec 31
TA  - The Journal of Alternative Investments
PG  - 55--65
VI  - 14
IP  - 3
4099  - https://pm-research.com/content/14/3/55.short
4100  - https://pm-research.com/content/14/3/55.full
AB  - This article examines whether VIX futures prices are unbiased and efficient predictors of the VIX index. The particular empirical analysis differs from the usually applied tests in that it uses a panel estimation approach. Panel regression has several advantages as it offers more flexibility in modeling the efficiency of several futures contract with overlapping datasets. As a result, this methodology enables the authors to include all daily closing prices of VIX futures contracts that expired between May 2004 and December 2009, a total of 64 contracts.The empirical findings support the hypothesis that VIX futures are good predictors of spot VIX values. The tests show that the VIX futures with a forecast horizon up to 23 days do not incorporate a significant risk premium and, thus, can be considered as unbiased and efficient estimators of the relevant spot VIX levels.TOPICS: Mutual funds/passive investing/indexing, futures and forward contracts, statistical methods, performance measurement