 The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility MeasuresAntónio Alberto Santos ()
No 2015-10, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra Abstract: In this paper, we calculate the realized volatility measures using intraday data not equally spaced in time. The aim is to compare these measures with the ones from the stochastic volatility model. With this model, the data used are obtained in equal time intervals. Known facts are that the volatility is not directly observable and time-varying. If we consider the set of the most flexible models to capture the volatility evolution of returns, the stochastic volatility model belongs to the aforementioned set. High-frequency observations are used, which means daily observations obtained in equal time intervals. Can this be compatible with ultra-high-frequency data and realized volatility measures? Can we obtain compatible measures of volatility with both approaches? This is the object of this paper. Keywords: Bayesian estimation; Financial returns; Integrated volatility; Intraday data; Markov chain Monte Carlo; Realized volatility; Stochastic volatility. (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:gmf:wpaper:2015-10 Access Statistics for this paper More papers in GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra Contact information at EDIRC. |
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