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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| 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 |