Watanabe, Toshiaki; Ubukata, Masato - Institute of Economic Research, Hitotsubashi University - 2009
This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is … the dynamics of realized volatility. The former can capture the long-memory property and the latter can also capture the … asymmetry in volatility depending on the sign of previous day's return. Option prices are derived under the assumption of risk …