Empirical bias in intraday volatility measures

Yan Fang, Florian Ielpo and Benoît Sévi

Finance Research Letters, 2012, vol. 9, issue 4, 231-237

Abstract: Intraday volatility measures have recently become the norm in risk measurement and forecasting. This article empirically investigates the unbiasedness of three of these measures over four different datasets. We find that the three measures are significantly biased and that the bias can have either sign.

Keywords: Volatility models; Jumps; Realized volatility; Bipower variation (search for similar items in EconPapers)
JEL-codes: C32 G1 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:9:y:2012:i:4:p:231-237

DOI: 10.1016/j.frl.2012.08.001

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