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Optimally sampled realized range-based volatility estimators

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  • Vortelinos, Dimitrios I.

Abstract

Range-based volatility estimators are analyzed in both daily and intraday sampling frequency and are also compared to the realized volatility estimator. The family of realized range-based estimators is extended as three range-based estimators are introduced. These three realized Parkinson range-based estimators are estimated in an optimal sampling frequency. Empirical analysis concerns three major US spot equity indices. The descriptive statistics and the long-memory estimations are compared between the daily and realized range-based estimators, and across each group as well. The realized range-based estimators are also compared in terms of the properties of the jump components of volatility. Moreover, the relevant effects of jumps on volatility are assessed by the use of the class of Heterogeneous Autoregressive (HAR) models.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 30 (2014)
Issue (Month): C ()
Pages: 34-50

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Handle: RePEc:eee:riibaf:v:30:y:2014:i:c:p:34-50

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Web page: http://www.elsevier.com/locate/ribaf

Related research

Keywords: Range; Realized volatility; Optimal sampling frequency; Long memory; Jumps; Heterogeneity;

References

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