Thefileimpvol sp500 atm tom.txtcontainsat-the-moneyimpliedvolatil-

ities (i.e., I t (1,τ)) with differenttimes tomaturity(τ = T −t)of European

calls on the S&P 500 index for the period from January 3, 2005 to April

10, 2006

data:

address.head <- ‘http://www.stanford.edu/~xing/statfinbook/_BookData/’address.tail <- ‘Chap09/d_logret_sp500.txt’address <- paste(address.head,address.tail,sep=”)data <- read.table(address,head=T)

all inoformation in attach files