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)

VOV数据。1) VOV（Volatility of Volatility，波动波动率）：针对每个交易日，我们基于日内五分钟频率的无模型隐含市场波动率序列计算已实现双幂变差，以此估算当日的VOV值，测算过程采用高频标普500指数期权数据。2) ΔVOV：市场波动波动率的创新项ΔVOV通过对市场波动波动率（VOV）序列拟合ARMA(1,1)（自回归移动平均）模型所得的残差计算得到。在隐含波动率测算环节，我们使用1996年1月至2015年12月期间，来自芝加哥期权交易所（CBOE）市场数据报告（Market Data Report, MDR）磁带的标普500指数（SPX）期权逐笔报价数据。引用文献：Chen, Te-Feng, Tarun Chordia, San-Lin Chung, and Ji-Chai Lin. 2021. VOV Risk in Asset Pricing. Review of Asset Pricing Studies。VOV数据可通过以下链接获取：https://www.dropbox.com/s/es8sew1zpu9xciu/VOV-data-RAPS.xlsx?dl=0