Estimation of high-frequency volatility: An autoregressive conditional duration approach

Estimation of high-frequency volatility: An autoregressive conditional duration 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) model, called the ACD-ICV method. We compare the daily volatility estimated using the ACD-ICV meth...

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Bibliographic Details
Main Authors: TSE, Yiu Kuen, YANG, Thomas Tao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Market microstructure
Realized volatility
Semiparametric method
Transaction data
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1410
https://ink.library.smu.edu.sg/context/soe_research/article/2409/viewcontent/Estimation_of_High_Frequency_Volatility_2012.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1410
https://ink.library.smu.edu.sg/context/soe_research/article/2409/viewcontent/Estimation_of_High_Frequency_Volatility_2012.pdf

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