Exploring Return Dynamics via Corridor Implied Volatility

• 成果类型: Article
• 署名作者: Andersen, Torben G.; Bondarenko, Oleg; Gonzalez-Perez, Maria T.
• 署名单位: Northwestern University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; CUNEF Universidad
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv033
• 发表日期: 2015
• 页码: 2902
• 关键词: STOCK RETURNS; leverage; price; MODEL; RISK; IMPACT; jumps; news; firm

摘要

Some fundamental questions regarding equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel Corridor Volatility index which may serve as an observable proxy for short-term volatility. Exploiting this index, we find that equity-index volatility jumps are common, symmetrically distributed, and cojump with the underlying returns. Moreover, the return-volatility asymmetry is more pronounced than is generally recognized and is in force for both diffusive and jump innovations in volatility. Finally, the index performs admirably during turbulent market conditions, constituting a useful real-time gauge of market stress.