Investment Strategies with VIX and VSTOXX

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