Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

Lily Liu (), Andrew Patton and Kevin Sheppard

Journal of Econometrics, 2015, vol. 187, issue 1, 293-311

Abstract: We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data (“realized measures”), and compare them with a simple “realized variance” (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV.

Keywords: Realized variance; Volatility forecasting; High frequency data (search for similar items in EconPapers)
JEL-codes: C22 C53 C58 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (291)

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Working Paper: Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:187:y:2015:i:1:p:293-311

DOI: 10.1016/j.jeconom.2015.02.008

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