An Ornstein–Uhlenbeck Model with the Stochastic Volatility Process and Tempered Stable Process for VIX Option Pricing

Table 1

Autocorrelation and partial autocorrelation test of log VIX.

	AC	PAC	Q-stat	Prob
1	−0.039	−0.039	1.1470	0.284
2	−0.034	−0.036	2.0202	0.364
3	0.018	0.015	2.2542	0.521
4	−0.097	−0.098	9.3586	0.053
5	−0.056	−0.063	11.679	0.039
6	−0.015	−0.027	11.844	0.066
7	−0.069	−0.074	15.456	0.031
8	0.044	0.028	16.904	0.031
9	−0.059	−0.075	19.551	0.021
10	−0.035	−0.046	20.472	0.025