Estimating spot volatility with high-frequency financial data

Yang Zu and H. Peter Boswijk ()

Journal of Econometrics, 2014, vol. 181, issue 2, 117-135

Abstract: We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the estimator. In Monte Carlo simulations, we compare the finite sample performance of our estimator with some existing estimators. Empirical examples are given to illustrate the potential applications of the estimator.

Keywords: Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection (search for similar items in EconPapers)
JEL-codes: C13 C14 C58 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:181:y:2014:i:2:p:117-135

DOI: 10.1016/j.jeconom.2014.04.001

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