Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
Bernard Bollen and
No 1999.01, Working Papers from School of Economics, La Trobe University
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 (search for similar items in EconPapers)
Pages: 20 pages
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Journal Article: Estimating daily volatility in financial markets utilizing intraday data (2002)
Working Paper: Estimating Daily Volatility in Financial Markets Utilizing Intraday Data (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1999.01
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