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Sorry, I should have though more before posting this question. By the way, the payoff of a call option on VIX index, priced at time $t$, with maturity at time $T$, is \begin{equation} (VIX_{T} - K)^+ \end{equation} and since the time $t$ strike of a VIX futures with same maturity $T$ is \begin{equation} F_{t,T} = E^{Q}[VIX_T \big| \mathcal{F}_t] ...


You can use a for-loop on your correlation series. for i=1:2000 simulation=copularnd('t',rho(i),NU,N));


For Engle-Granger, I can see that you are returned a vector of 2 elements for each of the output arguments, hence you run two tests there. For the sake of clarity and the education of people interested in the post, we can say that: Since your $hValues$ are both zero, we can say that there is a failure to reject the Null Hypothesis, which in this case is ...

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