Some Properties of Absolute Returns as a Proxy for Volatility
AbstractWe 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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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0706.
Length: 8 pages
Date of creation: 09 Aug 2007
Date of revision:
Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Web page: http://web.uvic.ca/econ
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Volatility; stochastic volatility model; absolute returns; squared returns;
Other versions of this item:
- David Giles, 2008. "Some properties of absolute returns as a proxy for volatility," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(5), pages 347-350.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-18 (All new papers)
- NEP-FMK-2007-08-18 (Financial Markets)
- NEP-RMG-2007-08-18 (Risk Management)
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