Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach

Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach

We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) models. We compare the daily volatilities estimated using the ACD models against several versions...

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Bibliographic Details
Main Authors: Tse, Yiu Kuen, Yang, Tao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Autoregressive Conditional Duration
Market Microstructure
Realized Volatility
Semiparametric Method
Transaction Data
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1276
https://ink.library.smu.edu.sg/context/soe_research/article/2275/viewcontent/Tse2010EstimationHigh_FrequencyVolatility.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1276
https://ink.library.smu.edu.sg/context/soe_research/article/2275/viewcontent/Tse2010EstimationHigh_FrequencyVolatility.pdf

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