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Some Properties of Absolute Returns as a Proxy for Volatility

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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.

Suggested Citation

  • David E. Giles, 2007. "Some Properties of Absolute Returns as a Proxy for Volatility," Econometrics Working Papers 0706, Department of Economics, University of Victoria.
  • Handle: RePEc:vic:vicewp:0706
    Note: ISSN 1485-6441
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    File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0706.pdf
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    Cited by:

    1. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2013. "On the Impact of Oil Price Volatility on the Real Exchange Rate - Terms of Trade Nexus : Revisiting Commodity Currencies," Working Papers 2013-40, CEPII research center.

    More about this item

    Keywords

    Volatility; stochastic volatility model; absolute returns; squared returns;

    JEL classification:

    • 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)

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