Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Kevin Sheppard, Lily Liu () and Andrew Patton

No 645, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: We study the accuracy of a wide variety of estimators of asset price variation constructed from high-frequency data (so-called "realized measures"), and compare them with a simple "realized variance" (RV) estimator. In total, we consider almost 400 different estimators, applied to 11 years of data on 31 different financial assets spanning five asset classes, including equities, equity indices, exchange rates and interest rates. We apply data-based ranking methods to the realized measures and to forecasts based on these measures. When 5-minute RV is taken as the benchmark realized measure, we find little evidence that it is outperformed by any of the other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated realized measures significantly outperform 5-minute RV. In forecasting applications, we find that a low frequency "truncated" RV outperforms most other realized measures. Overall, we conclude that it is difficult to significantly beat 5-minute RV.

Keywords: Realized variance; volatility forecasting; high frequency data (search for similar items in EconPapers)
JEL-codes: C22 C53 C58 (search for similar items in EconPapers)
Date: 2013-02-12
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-mst
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Citations: View citations in EconPapers (16)

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Journal Article: Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (2015)
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