VIX期限结构及投资者情绪分析

VIX Term Structure and Investors Sentiment

本文通过借鉴利率期限结构的分析框架,使用HP滤波和主成分分析方法研究了VIX期限结构的特征。研究发现,规模因子决定了隐含波动率在长期内的走势,斜率因子则决定了其在短期内快速变化的水平。同时,投资者对期限结构的反应表现为对近期未预期到的方差冲击较为敏感,而对长期预期到的冲击较不敏感。利用VAR模型综合分析已实现方差、隐含方差和情绪指标发现,前两者可以显著的影响投资者情绪。

We use HP filtering and principal component analysis method to study the characteristics of VIX term structure, the results show that the scale factor determines the long term trend of implied volatility, the slope factor which determines the rapid changes of implied volatility in the short term, the characteristics of VIX term structure reflects that investors care about the un- expected innovations to the realized variance, and do not care about the expected shocks to the implied variance, we use the VAR method to study the realized variance, implied variance and investor sentiment, and found that the first two variables can significantly affect investor sentiment.