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We propose a novel hybrid approach for volatility index (VIX) futures pricing by combining support vector regression (SVR) with parametric models. Realized semivariances calculated based on high‐frequency VIX are used to characterize the asymmetric shocks of VIX, and the direct pricing framework of the heterogeneous autoregressive model is extended by incorporating realized semivariances. VIX futures...
This paper proposes to study volatility index (VIX) futures pricing by directly modeling the logarithmic VIX while incorporating observable dynamic jumps of the VIX, which are derived based on VIX high‐frequency data. The impacts of several different interday and intraday jump tests for VIX futures prices are investigated. We obtain the analytical expression by deducing the forward iteration relations...
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