This paper examines which VIX maturity to use in affine GARCH model estimation, when the objective is to do option pricing. Utilizing the Model Confidence Set approach repeatedly, we rank the best VIXs across different dynamic models. Our results highlight the importance of estimating with VIXs and show that with the appropriate VIX a reduction of up to 38% in option pricing errors can be obtained. Our results also show that the 1-year VIX is the worst to use, that the 1-month VIX is an overall favourite, and that the choice of VIX maturity matters mostly for more flexible models.

中文翻译：

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并非所有 VIX 都（信息上）相等：来自 affine GARCH 期权定价模型的证据


本文研究了当目标是进行期权定价时，在仿射 GARCH 模型估计中使用哪种 VIX 到期日。反复使用模型置信集方法，我们对不同动态模型中的最佳 VIX 进行排名。我们的结果强调了使用 VIX 进行估算的重要性，并表明使用适当的 VIX 可以减少高达 38% 的期权定价误差。我们的结果还显示，1 年期 VIX 是最难用的，1 个月期 VIX 是总体上最受欢迎的，而 VIX 期限的选择对于更灵活的模型最重要。