Time series forecasting of volatility using high frequency data

This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, an...

Full description

Saved in:
Bibliographic Details
Main Authors: Tan, Hai Kang, Ernest, Vinod
Other Authors: Low, Buen Sin
Format: Theses and Dissertations
Language:English
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/7694
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English