Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models

Neil Shephard (), Ole Barndorff-Nielsen and University of Aarhus

No 71, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: The availability of intra-day data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we derive the moments and the asymptotic distribution of the realised volatility error - the difference between realised volatility and the actual volatility. These properties can be used to allow us to estimate the parameters of stochastic volatility models.

Keywords: econometrics; higher order variation; Kalman filter; leverage; lévy process; OU process; quarticity; quadratic variation; realised volatility; square root process; stochastic volatility; subordination; superposition. (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
Date: 2001-07-01
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Econometric analysis of realized volatility and its use in estimating stochastic volatility models (2002)
Working Paper: Econometric analysis of realised volatility and its use in estimating stochastic volatility models (2001)
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