IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Volatility estimators based on daily price ranges versus the realized range

  • Neda Todorova
Registered author(s):

    This study investigates the relative performance of alternative extreme-value volatility estimators based on daily and intraday ranges of the German index DAX 30. As a benchmark, the two-scales realized volatility is used. Intraday data from 6 years and 4 months are divided into two periods of different liquidity and volatility levels. The empirical results show that all range-based estimators are superior compared to the classical estimator but are negatively biased due to the discreteness of the price process. The estimation accuracy of all volatility proxies depends on the drift of the price process. The performance of the estimators based on daily price ranges is furthermore very sensitive to the level of volatility. The realized range, an estimator obtained from intraday ranges is more efficient and less biased than the daily ranges. The main determinant of its properties appears to be the liquidity level. The adjustments according to Christensen and Podolskij (2007) and Martens and van Dijk (2007) perform significantly better than the Parkinson estimator and thus provide conclusive support for the relative advantage of the realized range for measuring equity index volatility.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://hdl.handle.net/10.1080/09603107.2011.610739
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 22 (2012)
    Issue (Month): 3 (February)
    Pages: 215-229

    as
    in new window

    Handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:215-229
    Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAFE20

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:3:p:215-229. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.