Some properties of absolute returns as a proxy for volatility

David Giles

Applied Financial Economics Letters, 2008, vol. 4, issue 5, 347-350

Abstract: We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.

Date: 2008
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DOI: 10.1080/17446540701720709

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