Skip to main content

Investment Strategies with VIX and VSTOXX

Stanescu, Silvia and Tunaru, Radu (2012) Investment Strategies with VIX and VSTOXX. Working paper. University of Kent 271. (doi:271) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://www.kent.ac.uk/kbs/documents/res/working-pa...

Abstract

VIX and VSTOXX derivatives have been the story of success in terms of product innovation over the last five years. In this paper we use historical data on S&P500 and EURO STOXX 50, VIX and VSTOXX, as well as VIX and VSTOXX Futures to reveal linkages between these important series that can be used by equity investors to generate alpha and protect their investments during turbulent times. We consider for comparative performance purposes investment portfolios in U.S. and EU zone and also a long-short cross border portfolio. The econometric analysis is spanned by a battery of GARCH models from which we have selected the GARCH (1,1), the EGARCH and the GJR model as the best models for our data. Overall, investors with EURO STOXX 50 exposure can improve greatly the performance of their portfolio by adding VSTOXX futures.

Item Type: Monograph (Working paper)
DOI/Identification number: 271
Subjects: H Social Sciences
H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Cathy Norman
Date Deposited: 07 Feb 2013 11:31 UTC
Last Modified: 29 May 2019 10:00 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/33177 (The current URI for this page, for reference purposes)
  • Depositors only (login required):