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Estimating Daily Volatility in Financial Markets Utilizing Intraday Data

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Author Info
Bollen, B.
Inder, B.
Abstract

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 intraday data and propose a new estimator of daily volatility based upon intraday data which is both unbiased and efficient.

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Publisher Info
Paper provided by La Trobe - Department of Economics in its series Papers with number 99.01.

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Length: 20 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:latrob:99.01

Contact details of provider:
Postal: School of Economics and Commerce, La Trobe University, Bundoora, Victoria, Australia 3089.
Phone: (03) 9479 3012
Fax: (03) 9479 5971
Email:
Web page: http://www.latrobe.edu.au/business/
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Related research
Keywords: FINANCIAL MARKET ; VOLATILITY ; BUSINESS CYCLES;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
F10 - International Economics - - Trade - - - General

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