I would like to model VIX futures. The aim is not pricing but risk management. Thus I want to get risk measures like volatility right and be able to accurately calculate correlations when the VIX futures is analyzed in portfolio context.
I am not sure whether the Heston approach that is sometimes used is suitable for this aim. Another approach would be to approximate the VIX futures by the historical returns of the VIX index.
What is the approach most useful in risk management? Do you know any useful software implementation for VIX (e.g. in R)?