Long-term equity anticipation securities and stock market volatility dynamics
Abstract
Recent empirical findings suggest that the long-run dependence in U.S. stock market
volatility is best described by a slowly mean-reverting fractionally integrated process.
The present study complements this existing time-series-based evidence by comparing
the risk-neutralized option pricing distributions from various ARCH-type formulations.
Utilizing a panel data set consisting of newly created exchange traded long-term equity
anticipation securities, or leaps, on the Standard and Poor's 500 stock market index
with maturity times ranging up to three years, we find that the degree of mean reversion
in the volatility process implicit in these prices is best described by a Fractionally
Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.
Type
Journal articlePermalink
https://hdl.handle.net/10161/1894Collections
More Info
Show full item recordScholars@Duke
Tim Bollerslev
Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College
of Arts and Sciences
Professor Bollerslev conducts research in the areas of time-series econometrics, financial
econometrics, and empirical asset pricing finance. He is particularly well known
for his developments of econometric models and procedures for analyzing and forecasting
financial market volatility. Much of Bollerslev’s recent research has focused on
the analysis of newly available high-frequency intraday, or tick-by-tick, financial
data and so-called realized volatility measures, macroeconomic news annou
Articles written by Duke faculty are made available through the campus open access policy. For more information see: Duke Open Access Policy
Rights for Collection: Scholarly Articles
Works are deposited here by their authors, and represent their research and opinions, not that of Duke University. Some materials and descriptions may include offensive content. More info