Download or read book An Investigation of the Lead-Lag Relationship Between the VIX Index and the VIX Futures on the S&P500 written by Sotirios Karagiannis and published by . This book was released on 2019 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are applied. The results suggest that VIX futures lead spot VIX index, which implies that VIX futures market seems to play a more important role in price discovery.