The present estimation of the VIX futures term structure is conducted on each trading day by fitting a linear model of the available futures prices and spot VIX level as a function of time to maturity based on least squares criterion (spot VIX is considered as the price for VIX futures with maturity equal to zero).

For a detailed description of the estimation process, see “The Relationship between VIX Futures Term Structure and S&P500 Returns”.