RDP 8902: Option Prices and Implied Volatilities: An Empirical Analysis
Equation (5)
(
T
−
t
)
σ
2
(
t
,
T
)
=
E
t
{
ε
t+1
2
+
Σ
i
=
2
T
(
ε
t
+
i
2
)
}
=
E
t
{
ε
t+1
2
+
(
T
−
(
t+1
)
)
σ
2
(
t
+
1
,
T
)
}
.
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