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Measuring Equity Volatility: the case of Chilean Stock Index

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Author Info
Rodrigo Alfaro
Carmen Gloria Silva

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Abstract

This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements suggested in Parkinson (1980), Garman and Klass (1980), and Rogers and Satchell (1991). Those measurements use additional information of prices throughout the day, which makes them more efficient than the traditional ones. We consider this property relevant for financial stress episodies, when traditional measurements fail. In an empirical application for the Chilean stock market, we confirm the theoretical results and provide an index of price volatility based on daily highs and lows.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 462.

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Date of creation: Apr 2008
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Handle: RePEc:chb:bcchwp:462

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