Intra-day volatility components in FTSE-100 stock index futures
作者： Alan E.H. Speight , David G. McMillan , Owain ap Gwilym
DOI: 10.1002/(SICI)1096-9934(200005)20:5<425::AID-FUT2>3.0.CO;2-0
关键词: Volatility (finance) 、 Forward volatility 、 Volatility smile 、 Heterogeneous information 、 Econometrics 、 Stock index futures 、 Futures contract 、 Financial economics 、 Economics 、 Intra day 、 Volatility swap
摘要: Recent research has suggested that intra-day volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or market agents (Andersen & Bollerslev, 1997a, 1997b; Muller et al., 1997). We report direct evidence for such a decomposition in UK FTSE-100 futures returns data at frequencies one hour higher using permanent–transitory component variance model Engle Lee (1993). Moreover, transitory identified exhibits rapid decay, half-day frequency being completely dominated by highly persistent permanent component. The also is able capture all dependency within lower. © 2000 John Wiley Sons, Inc. Jrl Fut Mark 20:425–444,
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