Estimating Daily Volatility in Financial Markets Utilizing Intraday Data

Bernard Bollen and Brett Inder

No 1999.01, Working Papers from School of Economics, La Trobe University

Abstract: This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased and efficient.

Keywords: Financial Market; Volatility; Business Cycles EDIRC Provider-Institution: RePEc:edi:smlatau (search for similar items in EconPapers)
Pages: 20 pages
Date: 1999
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Citations: View citations in EconPapers (9)

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Journal Article: Estimating daily volatility in financial markets utilizing intraday data (2002)
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