search query: @author Ncube, M. / total: 3
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| Author: | Ncube, M. |
| Title: | Modelling implied volatility with OLS and panel data models |
| Journal: | Journal of Banking and Finance
1996 : JAN, VOL. 20:1, p. 71-84 |
| Index terms: | FINANCE OPTION PRICES PANEL DATA |
| Language: | eng |
| Abstract: | The paper performs an empirical estimation of time-varying volatility using OLS regression, Error Components, and Dummy Variable models, by regressing the implied volatility on time to maturity, the strike price and a dummy. Both the daily OLS equations and the panel data model provide more accurate estimates of Black and Scholes option prices than the benchmark standard deviation of long returns. FT-SE 100 Index European options are used for empirical analysis. The studies show that volatility is stochastic and the distribution of log returns leptokurtic. |
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