Estimation of High-Frequency Volatility : A autoregressive consitional duration approach | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

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Estimation of High-Frequency Volatility : A autoregressive consitional duration approach

Yiu-Kuen, Tse - Nama Orang; Thomas, Tao Yang - Nama Orang;

We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) model, called the ACD-ICV method. We compare the daily volatility estimated using the ACD-ICV method against several versions of the realized volatility (RV) method, including the bipower variation RV with subsampling, the realized kernel estimate, and the duration-based RV. Our Monte Carlo results show that the ACD-ICV method has lower root mean-squared error than the RV methods in almost all cases considered. This article has online supplementary material.

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Informasi Detail

Judul Seri: JOURNAL OF BUSINESS & ECONOMIC STATISTICS; Vol.30 No.4 October 2012
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 533-546
Bahasa: English
ISBN/ISSN: -
Klasifikasi: -
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: MARKET MICROSTRUCTURE
REALIZED VOLATILITY
SEMIPARAMETRIC METHOD
TRANSACTION DATA
Info Detail Spesifik: https://doi.org/10.1080/07350015.2012.707582
Pernyataan Tanggungjawab: Yiu-Kuen Tse, Thomas Tao Yang

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