Extreme value volatility estimators and realised volatility of stock prices in Amman Stock Exchange

Dima Waleed Hanna Alrabadi and Duha Ali Al-Barakat

Afro-Asian Journal of Finance and Accounting, 2023, vol. 13, issue 2, 210-224

Abstract: The aim of this study is to compare between extreme value volatility estimators and other realised volatility estimators in Amman Stock Exchange (ASE) over the period (2012-2016). The dataset consists of daily opening, highest, lowest and closing stock prices for a sample of 100 companies listed in ASE, including 1,236 trading days. The methodology of the study is based on relative efficiency proxies between extreme value volatility estimators. The results of the study show that extreme value volatility estimators are more efficient than other realised volatility estimators. In addition, the Garman-Klass estimator is the most efficient volatility estimator among Parkinson and Rogers-Satchell volatility estimators.

Keywords: extreme value volatility estimators; realised volatility; Parkinson volatility estimator; high-frequency data; Garman-Klass volatility estimator; Rogers-Satchell volatility estimator; Amman Stock Exchange; ASE. (search for similar items in EconPapers)
Date: 2023
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