Using Realized Volatility In Estimating Diffusion Models

Piotr Płuciennik ()
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Piotr Płuciennik: Adam Mickiewicz University, Poznań, Poland

Chapter 7 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 101-110 from University of Lodz

Abstract: Płuciennik (Chapter 7) describes how to estimate the diffusion model for stock returns with daily intra-day volatility taking WIG20 index as an empirical example. The finite sample properties of the two-stage estimation method are checked by Monte Carlo simulation.

Keywords: Monte Carlo simulation; Realized volatility; Diffusion models; WIG20 index (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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