The realized volatility of FTSE‐100 futures prices
利用1986至1998年FTSE-100指数期货的5分钟回报数据，精确估算每日指数波动率，发现其分布近似对数正态且具有长记忆性，标准化后的日回报接近正态分布。
Abstract 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 while 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. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:627–648, 2002