Measuring High-Frequency Causality between Returns, Realised Volatility and Implied Volatility

Jean-Marie Dufour, René Garcia, Abderrahim Taamouti: We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect.

Author(s):

Jean-Marie Dufour

Rene Garcia

EDHEC Business School

Abderrahim Taamouti

Universidad Carlos III de Madrid

We stress the importance of distinguishing between realised volatility and implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. We also study the impact of news on returns and volatility. We introduce a concept of news based on the difference between implied and realised volatilities (the variance risk premium) and find that a positive variance risk premium has more impact on returns than a negative variance risk premium.
Pdf
Measuring High-Frequency Causality between Returns, Realised Volatility and Impl...
(-1.00 B)
Type: Working paper
Date: le 06/06/2011
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

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We also study the impact of news on returns and volatility. We introduce a concept of news based on the difference between implied and realised volatilities (the variance risk premium) and find that a positive variance risk premium has more impact on returns than a negative variance risk premium. " ["summary"]=> string(209) "Jean-Marie Dufour, René Garcia, Abderrahim Taamouti: We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect." 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Review of Derivatives Research (2011), Journal of Applied Econometrics (2011 ; 2012), Journal of Econometrics (2011 ; 2012 ; 2015), Review of Financial Studies (2008 ; 2011 ; 2012), Management Science (2005), Journal of Banking and Finance (2005 ; 2011), Journal of Finance (2003), Journal of Econometrics (1994 ; 2000 ; 2003), Journal of Business and Economic Statistics (2006), Canadian Journal of Economics (2001 ; 2005), Journal of International Money and Finance (1998 ; 2001), Economic Inquiry (2002), Journal of Money, Credit and Banking (1997), Journal of Empirical Finance (1996)

" ["summary"]=> string(0) "" ["format"]=> string(9) "full_html" ["safe_value"]=> string(596) "

Review of Derivatives Research (2011), Journal of Applied Econometrics (2011 ; 2012), Journal of Econometrics (2011 ; 2012 ; 2015), Review of Financial Studies (2008 ; 2011 ; 2012), Management Science (2005), Journal of Banking and Finance (2005 ; 2011), Journal of Finance (2003), Journal of Econometrics (1994 ; 2000 ; 2003), Journal of Business and Economic Statistics (2006), Canadian Journal of Economics (2001 ; 2005), Journal of International Money and Finance (1998 ; 2001), Economic Inquiry (2002), Journal of Money, Credit and Banking (1997), Journal of Empirical Finance (1996)

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Review of Derivatives Research (2011), Journal of Applied Econometrics (2011 ; 2012), Journal of Econometrics (2011 ; 2012 ; 2015), Review of Financial Studies (2008 ; 2011 ; 2012), Management Science (2005), Journal of Banking and Finance (2005 ; 2011), Journal of Finance (2003), Journal of Econometrics (1994 ; 2000 ; 2003), Journal of Business and Economic Statistics (2006), Canadian Journal of Economics (2001 ; 2005), Journal of International Money and Finance (1998 ; 2001), Economic Inquiry (2002), Journal of Money, Credit and Banking (1997), Journal of Empirical Finance (1996)

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Review of Derivatives Research (2011), Journal of Applied Econometrics (2011 ; 2012), Journal of Econometrics (2011 ; 2012 ; 2015), Review of Financial Studies (2008 ; 2011 ; 2012), Management Science (2005), Journal of Banking and Finance (2005 ; 2011), Journal of Finance (2003), Journal of Econometrics (1994 ; 2000 ; 2003), Journal of Business and Economic Statistics (2006), Canadian Journal of Economics (2001 ; 2005), Journal of International Money and Finance (1998 ; 2001), Economic Inquiry (2002), Journal of Money, Credit and Banking (1997), Journal of Empirical Finance (1996)

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Review of Derivatives Research (2011), Journal of Applied Econometrics (2011 ; 2012), Journal of Econometrics (2011 ; 2012 ; 2015), Review of Financial Studies (2008 ; 2011 ; 2012), Management Science (2005), Journal of Banking and Finance (2005 ; 2011), Journal of Finance (2003), Journal of Econometrics (1994 ; 2000 ; 2003), Journal of Business and Economic Statistics (2006), Canadian Journal of Economics (2001 ; 2005), Journal of International Money and Finance (1998 ; 2001), Economic Inquiry (2002), Journal of Money, Credit and Banking (1997), Journal of Empirical Finance (1996)

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stress the importance of distinguishing between realised volatility and implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. 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"personne" ["language"]=> string(3) "und" ["created"]=> string(10) "1470041640" ["changed"]=> string(10) "1493931484" ["tnid"]=> string(1) "0" ["translate"]=> string(1) "0" ["uuid"]=> string(36) "176a4cf6-028a-4c25-aef4-1f0261958ac0" ["revision_timestamp"]=> string(10) "1493931484" ["revision_uid"]=> string(3) "330" ["body"]=> array(1) { ["und"]=> array(1) { [0]=> array(5) { ["value"]=> string(597) "

Review of Derivatives Research (2011), Journal of Applied Econometrics (2011 ; 2012), Journal of Econometrics (2011 ; 2012 ; 2015), Review of Financial Studies (2008 ; 2011 ; 2012), Management Science (2005), Journal of Banking and Finance (2005 ; 2011), Journal of Finance (2003), Journal of Econometrics (1994 ; 2000 ; 2003), Journal of Business and Economic Statistics (2006), Canadian Journal of Economics (2001 ; 2005), Journal of International Money and Finance (1998 ; 2001), Economic Inquiry (2002), Journal of Money, Credit and Banking (1997), Journal of Empirical Finance (1996)

" ["summary"]=> string(0) "" ["format"]=> string(9) "full_html" ["safe_value"]=> string(596) "

Review of Derivatives Research (2011), Journal of Applied Econometrics (2011 ; 2012), Journal of Econometrics (2011 ; 2012 ; 2015), Review of Financial Studies (2008 ; 2011 ; 2012), Management Science (2005), Journal of Banking and Finance (2005 ; 2011), Journal of Finance (2003), Journal of Econometrics (1994 ; 2000 ; 2003), Journal of Business and Economic Statistics (2006), Canadian Journal of Economics (2001 ; 2005), Journal of International Money and Finance (1998 ; 2001), Economic Inquiry (2002), Journal of Money, Credit and Banking (1997), Journal of Empirical Finance (1996)

" ["safe_summary"]=> string(0) "" } } } ["field_poste_current"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(9) "Professor" ["format"]=> NULL ["safe_value"]=> string(9) "Professor" } } } ["field_coordonn_es"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(148) "EDHEC Business School 393/400 Promenade des Anglais - BP3116 06202 Nice cedex 3 - France Tel.: + 33 (0)4 93 18 99 66 Fax : + 33 (0)4 93 83 08 10" ["format"]=> NULL ["safe_value"]=> string(148) "EDHEC Business School 393/400 Promenade des Anglais - BP3116 06202 Nice cedex 3 - France Tel.: + 33 (0)4 93 18 99 66 Fax : + 33 (0)4 93 83 08 10" } } } ["field_mail"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(21) "rene.garcia@edhec.edu" ["format"]=> NULL ["safe_value"]=> string(21) "rene.garcia@edhec.edu" } } } ["field_documents"]=> array(1) { ["und"]=> array(1) { [0]=> array(2) { ["value"]=> string(4) "1807" ["revision_id"]=> string(4) "1807" } } } ["field_cible"]=> array(0) { } ["field_siteweb"]=> array(0) { } ["field_facebook"]=> array(0) { } ["field_twitter"]=> array(0) {