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https://dx.doi.org/10.48550/ar...
Article . 2022
License: CC BY
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Roughness of the Implied Volatility

Authors: Floc'h, Fabien Le;

Roughness of the Implied Volatility

Abstract

The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate, and does not necessarily indicate roughness of the underlying volatility process. Here, we attempt to measure the roughness of the implied volatility of short term options, as well as of the VIX index, and evaluate whether they may be more appropriate proxies of the underlying instant volatility.

Keywords

FOS: Economics and business, Quantitative Finance - Mathematical Finance, Mathematical Finance (q-fin.MF)

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green