Empirical Evidence of CAC 40 Futures Volatility Under Crisis

This paper explores intraday dynamics of the CAC 40 index futures market and the underlying spot in the light of the financial crisis. The GJR-GARCH model shows a decrease (increase) of the futures market volatility (spot market) during the crisis. Contrary to the spot index, we find no evidence of "leverage effect" in the futures market. The study of half-lives suggests that the speed of the mean reversion process differ across the chosen time scales, the market and the study period. Contrary to the spot market, the half-lives are lower during the period of crisis for futures markets series. Further investigating of the futures market, where there is no problem of non-synchronous trading, through the EAR-GARCH model shows that volatility movements and asymmetric effects differ depending on the sampling frequency. Regarding the transmission of volatility, the EC-GARCH model shows that it is bidirectional before the crisis with a predominance of the futures market. During the crisis, volatility spreads only from spot to futures. Earlier studies have shown lower co-movement between spot markets and futures markets in the high variance regimes