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Volume weighted volatility: empirical evidence for a new realised volatility measure

Author

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  • Chaiyuth Padungsaksawasdi
  • Robert T. Daigler

Abstract

We introduce a new conceptually superior realised volatility estimator, volume weighted volatility (VWV), which effectively measures demand-based volatility, rather than only measuring the variability of a price series. We compare the VWV to other return- and range-based measures using the stock index futures, with our results supporting the empirical uniqueness of VWV. First, regressions show that the VWV provides unique information. Second, VWV is (only) weakly associated with other volatility measures for the smallest four volatility quintiles. Third, correlograms illustrate that the VWV is less persistent than the other measures, leading to more unique volatility values. Finally, the VWV most closely approximates the normal distribution.

Suggested Citation

  • Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2018. "Volume weighted volatility: empirical evidence for a new realised volatility measure," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 61-87.
    • Handle: RePEc:ids:injbaf:v:9:y:2018:i:1:p:61-87
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    Cited by:

    1. Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
    2. Olkhov, Victor, 2020. "Volatility Depend on Market Trades and Macro Theory," MPRA Paper 102434, University Library of Munich, Germany.
    3. Olkhov, Victor, 2021. "To VaR, or Not to VaR, That is the Question," MPRA Paper 105458, University Library of Munich, Germany.
    4. Olkhov, Victor, 2020. "Price, Volatility and the Second-Order Economic Theory," MPRA Paper 102767, University Library of Munich, Germany.

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