Are VIX futures prices predictable? An empirical investigation

Eirini Konstantinidi, George Skiadopoulos

Research output: Contribution to journalArticlepeer-review


This paper investigates whether volatility futures prices per se can be forecasted by studying the fast-growing VIX futures market. To this end, alternative model specifications are employed. Point and interval out-of-sample forecasts are constructed and evaluated under various statistical metrics. Next, the economic significance of the forecasts obtained is also assessed by performing trading strategies. Only weak evidence of statistically predictable patterns in the evolution of volatility futures prices is found. No trading strategy yields economically significant profits. Hence, the hypothesis that the VIX volatility futures market is informationally efficient cannot be rejected.
Original languageEnglish
Pages (from-to)543-560
Number of pages17
JournalInternational Journal of Forecasting
Issue number2
Publication statusPublished - 2011


  • Bootstrapping, Interval forecasts, Market efficiency, Predictability, Performance measures, VIX, Volatility futures


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