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The realized volatility of FTSE‐100 futures prices

Nelson M. P. C. Areal and Stephen J. Taylor

Journal of Futures Markets, 2002, vol. 22, issue 7, 627-648

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

Date: 2002
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Handle: RePEc:wly:jfutmk:v:22:y:2002:i:7:p:627-648