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Some Properties of Absolute Returns as a Proxy for Volatility

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Author Info
David E. Giles () (Department of Economics, University of Victoria)

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Abstract

We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.

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File URL: http://web.uvic.ca/econ/research/papers/ewp0706.pdf
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Publisher Info
Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0706.

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Length: 8 pages
Date of creation: 09 Aug 2007
Date of revision:
Handle: RePEc:vic:vicewp:0706

Note: ISSN 1485-6441
Contact details of provider:
Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-8540
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ
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Related research
Keywords: Volatility; stochastic volatility model; absolute returns; squared returns;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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