Volatility estimation based on extremes of the bridge (in Russian)

Svetlana Lapinova, Alexander Saichev and Maria Tarakanova
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Svetlana Lapinova: Higher School of Economics, Nizhni Novgorod, Russia
Alexander Saichev: Nizhni Novgorod State University, Russia
Maria Tarakanova: Nizhni Novgorod State University, Russia

Quantile, 2012, issue 10, 73-90

Abstract: We investigate properties of the volatility estimator, which is proportional to the square of oscillations of the bridge formed by the logarithm of the incremental price of a financial instrument at a specified time interval. In the framework of the geometric Brownian motion model for price increments we show by analytical computations and statistical simulations that the proposed volatility estimator by the bridge is much more efficient than the well-known Parkinson and Garman–Class estimators. We also discuss possible usages of the estimators for estimation of integrated volatility.

Keywords: volatility; volatility estimators; efficiency; bias; extremes of Brownian motion (search for similar items in EconPapers)
JEL-codes: C11 C14 C15 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2012:i:10:p:73-90

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