The model-free measures and the volatility spread

Jian Chen and Xiaoquan Liu

Applied Economics Letters, 2010, vol. 17, issue 18, 1829-1833

Abstract: In this article, we empirically investigate the relationship between realized and risk-neutral volatilities by applying the model-free measures to FTSE-100 index and index options from April 1992 to March 2005. Based on the deviation between the risk-neutral and the physical volatilities, we estimate the volatility spread through the Generalized Method of Moments (GMM) and reveal the volatility risk aversion.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:17:y:2010:i:18:p:1829-1833

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DOI: 10.1080/13504850903357350

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