Inthisarticle, weempirically investigate the relationshipbetween realizedand risk-neutral volatilities by applying the model-free measures to FTSE-100 index and index options from April 1992 to March 2005. Based on the deviation between the risk-neutral and the physical volatilities, we estimate the volatility spread through the Generalized Method of Moments (GMM) and reveal the volatility risk aversion.
|Number of pages||5|
|Journal||Applied Economics Letters|
|Publication status||Published - Dec 2010|
ASJC Scopus subject areas
- Economics and Econometrics