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    Long-term equity anticipation securities and stock market volatility dynamics

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    Date
    1999-09-01
    Authors
    Bollerslev, Tim
    Mikkelsen, HO
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    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 article
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    https://hdl.handle.net/10161/1894
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    Scholars@Duke

    Bollerslev

    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
    Open Access

    Articles written by Duke faculty are made available through the campus open access policy. For more information see: Duke Open Access Policy

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