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The realized volatility of FTSE-100 futures prices

✍ Scribed by Nelson M. P. C. Areal; Stephen J. Taylor

Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 265 KB
Volume: 22
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10018

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

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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