A comparative study of alternative extreme‐value volatility estimators

Turan G. Bali and David Weinbaum

Journal of Futures Markets, 2005, vol. 25, issue 9, 873-892

Abstract: Recent advances in econometric methodology and newly available sources of data are used to examine empirically the performance of the various extreme‐value volatility estimators that have been proposed over the past two decades. Overwhelming support is found for the use of extreme‐value estimators when computing daily volatility measures across all assets: Daily extreme‐value volatility estimators are both less biased and substantially more efficient than the traditional close‐to‐close estimator. In the case of weekly and monthly measures, the results still suggest that extreme‐value estimators are appropriate, but the evidence is more mixed. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:873–892, 2005

Date: 2005
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