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Garch Parameter Estimation Using High-Frequency Data

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Author Info
Visser, Marcel P.

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Abstract

Estimation of the parameters of Garch models for financial data is typically based on daily close-to-close returns. This paper shows that the efficiency of the parameter estimators may be greatly improved by using volatility proxies based on intraday data. The paper develops a Garch quasi maximum likelihood estimator (QMLE) based on these proxies. Examples of such proxies are the realized volatility and the intraday high-low range. Empirical analysis of the S&P 500 index tick data shows that the use of a suitable proxy may reduce the variances of the estimators of the Garch autoregression parameters by a factor 20.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9076.

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Date of creation: 10 Jun 2008
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Handle: RePEc:pra:mprapa:9076

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Related research
Keywords: volatility estimation quasi maximum likelihood volatility proxy Gaussian QMLE log-Gaussian QMLE autoregressive conditional heteroscedasticity

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Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
G1 - Financial Economics - - General Financial Markets
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

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  1. Uwe Jirjahn & Gesine Stephan, 2004. "Gender, piece rates and wages: evidence from matched employer--employee data," Cambridge Journal of Economics, Oxford University Press, vol. 28(5), pages 683-704, September. [Downloadable!] (restricted)
  2. Bram Cadsby, C. & Maynes, Elizabeth, 1998. "Gender and free riding in a threshold public goods game: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 34(4), pages 603-620, March. [Downloadable!] (restricted)
  3. repec:att:wimass:199610 is not listed on IDEAS
  4. Brian Krauth, 2004. "Simulation-based estimation of peer effects," Econometrics 0408002, EconWPA. [Downloadable!]
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  5. Marianne Bertrand & Kevin F. Hallock, 2000. "The Gender Gap in Top Corporate Jobs," NBER Working Papers 7931, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  1. repec:pra:mprapa:11001 is not listed on IDEAS
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This page was last updated on 2008-11-18.

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