Some Properties of Absolute Returns as a Proxy for Volatility

David Giles

No 706, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.

Keywords: Volatility; stochastic volatility model; absolute returns; squared returns (search for similar items in EconPapers)
JEL-codes: C10 C46 G10 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2007-08-09
New Economics Papers: this item is included in nep-fmk and nep-rmg
Note: ISSN 1485-6441
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Related works:
Journal Article: Some properties of absolute returns as a proxy for volatility (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:0706

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