Rømer, Sigurd Emil; Poulsen, Rolf - In: Risks : open access journal 8 (2020) 2/59, pp. 1-18
We investigate the state dependence of the variance of the instantaneous variance of the S&P 500 index empirically. Time-series analysis of realized variance over a 20-year period shows strong evidence of an elasticity of variance of the variance parameter close to that of a log-normal model,...
