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Association and the Portuguese Finance Network for helpful comments, particularly

By Nelson M. P. C, Areal Stephen, J. Taylor, To Charlotte Christiansen, João Duque, Mark Shackleton and Gary Xu


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 volatility. The distribution of volatility measured daily is similar to lognormal whilst the volatility time series has persistent positive autocorrelation that displays long-memory effects. The distribution of daily returns standardized using the measures of realized volatility is shown to be close to normal unlike the unconditional distribution. This work was supported by the Portuguese Foundation for Science and Technology. Thanks are also due to our colleagues and to participants at meetings of the European Financ

Year: 2000
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