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

• 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
• Institution: Singapore Management University

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...