✦ LIBER ✦

Persistence of volatility in futures markets

✍ Scribed by Zhiyao Chen; Robert T. Daigler; Ali M. Parhizgari

Publisher: John Wiley and Sons
Year: 2006
Tongue: English
Weight: 266 KB
Volume: 26
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20210

No coin nor oath required. For personal study only.

✦ Synopsis

This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility persistence relationships. Intraday realized measures of volatility are found to be more persistent than daily measures, the type of GARCH procedure used for conditional volatility analysis is critical, and realized volatility persistence is not coherent with conditional volatility persistence. Specifically, although there is a good fit between the realized and conditional volatilities, no coherence exists between their degrees of persistence, a counterintuitive finding that shows realized and conditional volatility measures are not a substitute for one another.

📜 SIMILAR VOLUMES

Persistence in some energy futures marke

Persistence in some energy futures markets

✍ Juncal Cunado; Luis A. Gil-Alana; Fernando Perez de Gracia 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 285 KB

## Abstract In this study, we examine the possibility of long‐range dependence in some energy futures markets for different maturities. In order to test for persistence, we use a variety of techniques based on non‐parametric, semi‐parametric and parametric methods. The results indicate that there i

Realized volatility and correlation in e

Realized volatility and correlation in energy futures markets

✍ Tao Wang; Jingtao Wu; Jian Yang 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 273 KB

## Abstract Using high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of t

Mid-day volatility spikes in U.S. future

Mid-day volatility spikes in U.S. futures markets

✍ Scott Docking, Diane; Kawaller, Ira G.; Koch, Paul D. 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 460 KB 👁 2 views

Recent work offers mixed results regarding the nature of intraday volatility patterns in futures markets and, specifically, the existence of spikes in futures return volatility during the middle of the U.S. trading day (Crain & Lee, 1995;Kawaller, Koch, & Peterson, 1994). This note analyzes time and

Stock index futures trading and volatili

Stock index futures trading and volatility in international equity markets

✍ Huseyin Gulen; Stewart Mayhew 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 142 KB 👁 3 views

Stock index futures markets: stochastic

Stock index futures markets: stochastic volatility models and smiles

✍ Robert G. Tompkins 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 220 KB 👁 2 views

This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r

Trading volume, bid–ask spread, and pric

Trading volume, bid–ask spread, and price volatility in futures markets

✍ George H. K. Wang; Jot Yau 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 149 KB 👁 2 views