# The leverage effect for futures contract

Given the daily price data of equity and government-bond futures contracts, how can I identify the leverage effect (when prices move down, the volatility of prices increases), and see if it is statistically significant on the given time period?

• Is this what you mean by Leverage Effect (or do you mean something else)? "The leverage effect refers to the observed tendency of an asset's volatility to be negatively correlated with the asset's returns. Typically, rising asset prices are accompanied by declining volatility, and vice versa." – noob2 Sep 16 '18 at 15:13
• Yes, that is what I mean by the leverage effect. – jroy Sep 16 '18 at 18:46
• This somewhat implies that normal vol might be more appropriate than lognormal. – will Oct 17 '18 at 5:49

• The daily volatility for this month, which is the square root of average value of $(\ln(P_t/P_{t-1}))^2$ for t ranging over all days of the month. (This will be the average of about 20 numbers, since there are about 20 (or 21) trading days each month.)