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A Comparison of Estimators Daily Realised Volatility

By Bernard Bollen and Brett Inder


This study proposes a new approach to the estimation of daily realised volatility in financial markets from intraday data. We use a weak set of assumptions about the data generating process for intraday returns, including transaction returns, given in den Haan and Levin (1996), which allows for heteroscedasticity and timevarying autocorrelation in intraday returns. These assumptions allow the VARHAC estimator to be employed in the estimation of daily realised volatility. An empirical analysis of the VARHAC daily volatility estimator employing intraday transaction returns concludes that this estimator performs well in comparison to other estimators cited in the literature

Topics: Key words, VARCHAC estimator, Intraday Data, Volatility Modeling JEL classification, C22, G14
Year: 2011
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