{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T14:08:06Z","timestamp":1785334086364,"version":"3.55.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>The VIX futures term structure inverts on 7.75 percent of trading days from January 2011 to May 2026. I show that the depth of this inversion contains incremental forecasting information for forward realised volatility above the VIX level, raising the in-sample R-squared by 2.4 to 6.9 percentage points relative to a regression that controls only for the VIX. The signal is concentrated at the front end of the term structure: measures incorporating the 9-day volatility index dominate the conventional spot-versus-three-month measure across all horizons tested. The signal is associated with the gap between forward realised volatility and the contemporaneous VIX at horizons of 5 and 10 trading days, consistent with variation in the volatility risk premium. The result survives augmentation with Corsi-style heterogeneous autoregressive realisedvolatility controls and is validated out of sample in a recursive 2019 to 2026 test using the Clark and West (2007) nested-model statistic. The findings refine the standard view that the VIX term structure contains information about future volatility by locating the incremental content at the short end of the curve.<\/jats:p>","DOI":"10.2139\/ssrn.6752518","type":"posted-content","created":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T13:29:36Z","timestamp":1785331776000},"source":"Crossref","is-referenced-by-count":0,"title":["The Front End of the VIX Term Structure and Forward Realised Volatility"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T13:29:36Z","timestamp":1785331776000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6752518"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6752518","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}