富时100指数期货价格的实际波动率

EFA 2000 London Meetings (Archive) Pub Date : 2000-10-01 DOI:10.2139/ssrn.251670

Nelson Areal, Stephen J. Taylor

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引用次数: 183

摘要

从1986年1月到1998年12月，富时100指数期货合约的五分钟回报被用来获得每日指数波动的准确估计。这些已实现的波动率度量被用来获得关于富时100指数波动率的分布和自相关特性的推论。每日测量的波动率分布与对数正态分布相似，而波动率时间序列具有持续的正自相关，显示出长记忆效应。与无条件分布不同，使用已实现波动率度量标准化的日收益分布显示接近正态分布。©2002 Wiley期刊公司[j] [j]， 2002

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The Realized Volatility of Ftse-100 Futures Prices

Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimates of daily index volatility from January 1986 to December 1998. These realized volatility measures are used to obtain inferences about the distributional and autocorrelation properties of FTSE‐100 volatility. The distribution of volatility measured daily is similar to lognormal while the volatility time series has persistent positive autocorrelation that displays long‐memory effects. The distribution of daily returns standardized using the measures of realized volatility is shown to be close to normal, unlike the unconditional distribution. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:627–648, 2002

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来源期刊

EFA 2000 London Meetings (Archive)

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