EconPapers    
Economics at your fingertips  
 

Estimating Integrated Volatility Using Absolute High-Frequency Returns

Ysusi Carla

No 2006-13, Working Papers from Banco de México

Abstract: When high-frequency data is available, in the context of a stochastic volatility model, realised absolute variation can estimate integrated spot volatility. A central limit theory enables us to do filtering and smoothing using model-based and model-free approaches in order to improve the precision of these estimators. Although the absolute values are empirically attractive as they are less sensitive to possible large movements in high-frequency data, realised absolute variation does not estimate integrated variance. Some problems arise when using a finite number of intra-day observations, as explained here.

JEL-codes: C13 C51 G19 (search for similar items in EconPapers)
Date: 2006-12
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.banxico.org.mx/publications-and-press/ ... -2B36E5C137F4%7D.pdf (application/pdf)

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:bdm:wpaper:2006-13

Access Statistics for this paper

More papers in Working Papers from Banco de México Contact information at EDIRC.
Bibliographic data for series maintained by Subgerencia de desarrollo de sistemas ().

 
Page updated 2023-12-22
Handle: RePEc:bdm:wpaper:2006-13