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The realized volatility of FTSE‐100 futures prices
Author(s) -
Areal Nelson M. P. C.,
Taylor Stephen J.
Publication year - 2002
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.10018
Subject(s) - volatility (finance) , futures contract , econometrics , economics , forward volatility , realized variance , volatility swap , autocorrelation , implied volatility , volatility smile , index (typography) , financial economics , mathematics , statistics , computer science , world wide web
Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimatesof daily index volatility from January 1986 to December 1998. These realized volatility measures are used toobtain inferences about the distributional and autocorrelation properties of FTSE‐100 volatility. Thedistribution of volatility measured daily is similar to lognormal while the volatility time series haspersistent positive autocorrelation that displays long‐memory effects. The distribution of daily returnsstandardized using the measures of realized volatility is shown to be close to normal, unlike the unconditionaldistribution. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:627–648, 2002