A comparison study of realized kernels using different sampling frequencies

Chen Zhou ()
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Chen Zhou: University of Paderborn

No 30, Working Papers Dissertations from Paderborn University, Faculty of Business Administration and Economics

Abstract: A crucial problem by applying realized kernels (RK) is the selection of the bandwidth. We improve the iterative plug-in (IPI) algorithms for selecting bandwidth of RK under independent (Feng and Zhou, 2015b) and dependent microstructure (MS) noise assumptions (Wang, 2014). The realized estimators calculated by both algorithms are consistent to the daily integrated volatility. The nice practical performance of these algorithms are illustrated by the application to 9 years of data on 10 European firms. Moreover, using these two algorithms we calculate RK based on different sampling frequencies and compare them with several other realized estimators. The comparison of these realized estimators is carried out by assessing their performances in the computation of Value-at-Risk (VaR) based on the Semi-FI-Log-ACD model. The RK estimators based on the tick-by-tick returns calculated by both IPI algorithms mentioned above have good performances and are hence recommended using as the estimators of volatility in practice.

Keywords: Realized volatility; realized kernels; microstructure noise; bandwidth selection; iterative plug-in; sampling frequency; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: C14 C51 (search for similar items in EconPapers)
Pages: 39
Date: 2018-04
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