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Estimating Daily Volatility from Intraday Data

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Author Info
Bollen, B.
Kofman, P.
Abstract

This study proposes a new approach to the estimation of daily volatility. This approach is different ( in the sense of using all available intraday price data) and unbiased ( in the sense of accounting for the high levels of autocorrelation found in intraday price data).

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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 13/96.

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Length: 20 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:msh:ebswps:1996-13

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Related research
Keywords: EVALUATION; STATISTICS;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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This page was last updated on 2009-12-16.

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