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英文文献：Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX-相干无模型隐含波动率:高频波动率的走廊固定
英文文献作者：Torben G. Andersen,Oleg Bondarenko,Maria T. Gonzalez-Perez
英文文献摘要：
The VIX index is computed as a weighted average of SPX option prices over a range of strikes according to specific rules regarding market liquidity. It is explicitly designed to provide a model-free option-implied volatility measure. Using tick-by-tick observations on the underlying options, we document a substantial time variation in the coverage which the stipulated strike range affords for the distribution of future S&P 500 index prices. This produces idiosyncratic biases in the measure, distorting the time series properties of VIX. We introduce a novel “Corridor Implied Volatility” index (CX) computed from a strike range covering an “economically invariant” proportion of the future S&P 500 index values. We find the CX measure superior in filtering out noise and eliminating artificial jumps, thus providing a markedly different characterization of the high-frequency volatility dynamics. Moreover, the VIX measure is particularly unreliable during periods of market stress, exactly when a “fear gauge” is most valuable.
VIX指数是根据有关市场流动性的特定规则，以SPX期权价格在一系列打击范围内的加权平均值计算出来的。它被明确地设计为提供一个无模型的期权隐含波动率度量。利用对标的期权的逐点观察，我们记录了规定的执行范围为未来标普500指数价格分布提供的覆盖范围的重大时间变化。这在测量中产生了特殊偏差，扭曲了VIX的时间序列属性。我们引入了一种新的“走廊隐含波动率”指数(CX)，该指数由涵盖未来标普500指数中“经济不变量”比例的走向范围计算而成。我们发现CX测量优于滤除噪声和消除人工跳变，从而提供了一个明显不同的高频波动动力学特征。此外，VIX指数在市场压力时期尤其不可靠，而这正是“恐惧指标”最有价值的时期。
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