Implementing Intraday Model-Free Implied Volatility for Individual Equities to Analyze the Return–Volatility Relationship

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

Your paper shows that the defined MVIV measures are used in obtaining implied volatility, and, thus, for volatility prediction on intraday level, instead of using models with many causal variables. Have you tested if these predictions shows a close relationship with the real volatility produced? All these are in the intraday, and with data 1-10-60 minutes. What is the range of forecasts where you can rely on your proposed models? The effects of the pandemic are not short term, so, how can the estimated risk premia for individual equities can help to understand the pandemic effects?

Please, don't take these questions as objections, but as curiosity.

 

Author Response

Please see attachement

Author Response File: Author Response.pdf

Reviewer 2 Report

Comments and Suggestions for Authors

I appreciate the foray into the current state of research carried out by the authors of this article proposal even if it is carried out rather in the form of extracted mathematical models. Probably, an expansion of the number of bibliographic references would not have been a wrong idea in this sense.

Instead, the practical applicative part of the article proposal seems to be more successful and the authors manage to empirically test what they proposed as the objective of this research. Here in the empirical validation part, I think it would have been better to highlight the limitations of the research as well as future research directions on the same research topic.

In conclusion, I appreciate the effort made in order to develop and write this article proposal, but in order to be published, I make some recommendations.

First of all, the number of bibliographic references should be expanded and the related part of the incursion in the stage of knowledge should increase the number of pages in this sense and in the bibliography a certain uniformity should be maintained in terms of the indication of these bibliographic references.

In the application part, I recommend mentioning the data used in these tests, the period for which the variables were tracked, to what extent the results obtained validate the tested model, what are the limitations of the research as well as possible future research directions on the same topic.

Author Response

Please see attachement

Author Response File: Author Response.pdf

Round 2

Reviewer 2 Report

Comments and Suggestions for Authors

I note a significant improvement of the current version of the article proposal both in terms of the theoretical component of the incursion into the current state of knowledge and in terms of the practical quantitative application component.

I favorably appreciate the conclusions drawn after deepening the case study as well as the bibliographic references used for documentation.

Perhaps a component related to the limitations of the research and the future direction of research on the respective topic was also required.

Also, maybe even an expansion of the studied bibliography was required.

However, I support the publication of this proposed article.