Some Properties of Absolute Returns as a Proxy for Volatility
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.
Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0706.
|Date of creation:||09 Aug 2007|
|Contact details of provider:|| Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2|
Web page: http://web.uvic.ca/econ
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