This study investigates hidden factors in the volatility index (VIX) futures market. Risk factors spanned by the futures curve have a limited ability to capture variations in the expected excess returns. The market's hidden factors provide additional predictive power for future returns in addition to that provided by the factors spanned by the futures curve. The use of a dynamic term structure model with these hidden factors indicates that the hidden factors as a proxy for macro risks materially impact the VIX futures returns and their yield term structure and are significantly helpful in depicting the dynamics of the risk premia.

中文翻译：

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VIX 期货的宏观风险尚未得到缓解

本研究调查波动率指数（VIX）期货市场中的隐藏因素。期货曲线涵盖的风险因素捕获预期超额收益变化的能力有限。除了期货曲线所涵盖的因素之外，市场的隐藏因素还为未来回报提供了额外的预测能力。使用具有这些隐藏因素的动态期限结构模型表明，作为宏观风险代理的隐藏因素对 VIX 期货收益及其收益率期限结构产生重大影响，并且对于描述风险溢价的动态有很大帮助。