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Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

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  • Liu, Lily Y.
  • Patton, Andrew J.
  • Sheppard, Kevin

Abstract

We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data (“realized measures”), and compare them with a simple “realized variance” (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV.

Suggested Citation

  • Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
  • Handle: RePEc:eee:econom:v:187:y:2015:i:1:p:293-311
    DOI: 10.1016/j.jeconom.2015.02.008
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    More about this item

    Keywords

    Realized variance; Volatility forecasting; High frequency data;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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