Abstract
We obtain a derivative-based formula of time series regression coefficients on the stock market return. We introduce a forward contract on a power VIX index (PVIX) calculated by market index options, and obtain a model-free future price of PVIX by using SP however, the time-series coefficients using derivatives are significant and more sensitive to the market in the volatile period. Finally, we demonstrate that the derivatives market's forward looking information helps predict future market return.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
