A new generalized volatility proxy via the stochastic volatility model

Jong-Min Kim, Hojin Jung and Li Qin

Applied Economics, 2017, vol. 49, issue 23, 2259-2268

Abstract: This article proposes power transformation of absolute returns as a new proxy of latent volatility in the stochastic model. We generalize absolute returns as a proxy for volatility in that we place no restriction on the power of absolute returns. An empirical investigation on the bias, mean square error and relative bias is carried out for the proposed proxy. Simulation results show that the new estimator exhibiting negligible bias appears to be more efficient than the unbiased estimator with high variance.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2016.1237751 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:49:y:2017:i:23:p:2259-2268

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2016.1237751

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().