We show that historical volatility from high frequency returns outperforms implied volatility when standardized returns by historical volatility tends to be normally distributed. For the FTSE 100 futures, we find that historical volatility using high frequency returns outperforms implied...

In this paper, we show that spurious cointegration can occur when there are breaks in the variances of the innovation errors of time series, especially when the breaks occur early in the sample period. An empirical example is provided to demonstrate the case.