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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| 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 |