The information content of implied volatilities and intra-day returns is compared, in the context of forecasting index volatility over horizons from one to twenty days. Forecasts of two measures of realised volatility are obtained after estimating ARCH models using daily index returns, daily...

The volatility process of the Samp;P 100 index and all its constituent stocks are compared after estimating ARCH models from ten years of daily returns, from 1983 to 1992. The leverage effect of Black (1976) is estimated from an extension of the asymmetric volatility model of Glosten et al...

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al....

This paper provides a guide to high frequency option trade and quote data disseminated by theOptions Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option...

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996 to December 1999. Volatility forecasts defined by historical stock returns, at-the-money (ATM) implied volatilities and model-free (MF)...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996 to December 1999. Volatility forecasts defined by historical stock returns, at-the-money (ATM) implied volatilities and model-free (MF)...

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...