The Realized Volatility of Ftse-100 Futures Prices

31 Pages Posted: 11 Dec 2000

See all articles by Nelson Areal

Nelson Areal

University of Minho - School of Economics and Management

Stephen J. Taylor

Lancaster University - Department of Accounting and Finance

Date Written: October 2000

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 whilst 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.

JEL Classification: G10

Suggested Citation

Brandão da Costa Areal, Nelson Manuel de Pinho and Taylor, Stephen J., The Realized Volatility of Ftse-100 Futures Prices (October 2000). Available at SSRN: https://ssrn.com/abstract=251670 or http://dx.doi.org/10.2139/ssrn.251670

Nelson Manuel de Pinho Brandão da Costa Areal

University of Minho - School of Economics and Management ( email )

University of Minho
School of Economics and Management
Braga, 4710-057
Portugal
+351 253 601 380 (Fax)

HOME PAGE: http://nelsonareal.net

Stephen J. Taylor (Contact Author)

Lancaster University - Department of Accounting and Finance ( email )

The Management School
Lancaster LA1 4YX
United Kingdom
+ 44 15 24 59 36 24 (Phone)
+ 44 15 24 84 73 21 (Fax)

HOME PAGE: http://www.lancs.ac.uk/staff/afasjt

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