TY - JOUR T1 - The Efficiency of the VIX Futures Market:<br/> <em>A Panel Data Approach</em> JF - The Journal of Alternative Investments SP - 55 LP - 65 DO - 10.3905/jai.2012.14.3.055 VL - 14 IS - 3 AU - Athanasios P. Fassas AU - Costas Siriopoulos Y1 - 2011/12/31 UR - https://pm-research.com/content/14/3/55.abstract N2 - This article examines whether VIX futures prices are unbiased and efficient predictors of the VIX index. The particular empirical analysis differs from the usually applied tests in that it uses a panel estimation approach. Panel regression has several advantages as it offers more flexibility in modeling the efficiency of several futures contract with overlapping datasets. As a result, this methodology enables the authors to include all daily closing prices of VIX futures contracts that expired between May 2004 and December 2009, a total of 64 contracts.The empirical findings support the hypothesis that VIX futures are good predictors of spot VIX values. The tests show that the VIX futures with a forecast horizon up to 23 days do not incorporate a significant risk premium and, thus, can be considered as unbiased and efficient estimators of the relevant spot VIX levels.TOPICS: Mutual funds/passive investing/indexing, futures and forward contracts, statistical methods, performance measurement ER -