Data for: Volatility-of-Volatility Risk in Asset Pricing

VOV data.
1) VOV: For each day, we estimate VOV by calculating the realized bipower variance from a series of five-minute model-free implied market variance within the day, using the high-frequency S&P 500 index option data.
2) ΔVOV: The innovations in market volatility-of-volatility (ΔVOV) is computed as the ARMA(1,1) model residual of the market volatility-of-volatility (VOV).

To calculate implied volatility, we use the tick-by-tick quote data for the S&P 500 index (SPX) options from CBOE’s Market Data Report (MDR) tapes over the time period from January 1996 to December 2015.

Citation: Chen, Te-Feng, Tarun Chordia, San-Lin Chung, and Ji-Chai Lin. 2021. VOV Risk in Asset Pricing. Review of Asset Pricing Studies. (The VOV data is available at https://www.dropbox.com/s/es8sew1zpu9xciu/VOV-data-RAPS.xlsx?dl=0)