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- Title
Implementing Intraday Model-Free Implied Volatility for Individual Equities to Analyze the Return–Volatility Relationship.
- Authors
Haas, Martin G.; Peter, Franziska J.
- Abstract
We implement the VIX methodology on intraday data of a large set of individual equity options. We thereby consider approaches based on monthly option contracts, weekly option contracts, and a cubic spline interpolation approach. Relying on 1 min, 10 min, and 60 min model-free implied volatility measures, we empirically examine the individual equity return–volatility relationship on the intraday level using quantile regressions. The results confirm a negative contemporaneous link between stock returns and volatility, which is more pronounced in the tails of the distributions. Our findings hint at behavioral biases causing the asymmetric return–volatility link rather than the leverage and volatility-feedback effects.
- Publication
Journal of Risk & Financial Management, 2024, Vol 17, Issue 1, p39
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm17010039