This study examines the cointegration and lead-lag relationships between VIX and VIX futures from March 26, 2004 to April 30, 2010. The empirical result show the leverage effect in VIX and VIX futures using the asymmetric component GARCH model, and the long-run relationship between VIX and VIX futures by employing the Johansen cointegration test. This study shows that the lead-lag relationship from VIX to VIX futures and the long-run effect have more power than the short-run effect, and the asymmetric component GARCH model has more power than the component GARCH model for the VIX and VIX futures. Furthermore, the asymmetric component GARCH model with the error correction term has more explanatory power than the asymmetric component GARCH model in VIX and VIX futures. This finding is use for investors trading in VIX and VIX futures.