Properties of range-based volatility estimators

Peter Molnár

International Review of Financial Analysis, 2012, vol. 23, issue C, 20-29

Abstract: Volatility is not directly observable and must be estimated. Estimator based on daily close data is imprecise. Range-based volatility estimators provide significantly more precision, but still remain noisy volatility estimates, something that is sometimes forgotten when these estimators are used in further calculations.

Keywords: Volatility; High; Low; Range (search for similar items in EconPapers)
JEL-codes: C58 G17 G32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:23:y:2012:i:c:p:20-29

DOI: 10.1016/j.irfa.2011.06.012

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