Long memory and volatility behaviour in Paris option market Online publication date: Tue, 22-Dec-2015
by Nessim Souissi; Abderrahmen Aloulou
International Journal of Bonds and Derivatives (IJBD), Vol. 1, No. 4, 2015
Abstract: This paper investigates the relationship between realised-implied volatility, by examining the empirical evidence for the aspect followed by two volatility process. The analysis is undertaken using daily from May 2005 to April 2009 at the EURONEXT. We consider semi parametric frequency domain analysis of fractional cointegration between long memory processes. The estimation of predictive regression narrow band least square (NBLS) is based on the Fourier frequencies number included in the spectral regression. Consistent with exploration the GPH and Local Whittle estimators, the results notice the non stationary long memory in realised-implied volatility and the mean reverting behaviour. An application to NBLS model, we indicate that implied volatility is a consistent estimate of realised volatility. The contribution of this paper is to demonstrate that options prices display long memory and that form of long memory is persistence during the 2008 crisis.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Bonds and Derivatives (IJBD):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook