Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods

Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods

We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the realized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our Monte Carl...

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Main Authors: LIU, Shouwei, TSE, Yiu Kuen
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2013
主題:
Autoregressive conditional duration
generalized autoregressive conditional heteroskedasticity
market microstructure
realized volatility
transaction data
Econometrics
Finance
在線閱讀:https://ink.library.smu.edu.sg/soe_research/1476
https://ink.library.smu.edu.sg/context/soe_research/article/2475/viewcontent/2011___02___estimation_of_monthly_volatility.pdf
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機構: Singapore Management University
語言: English

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https://ink.library.smu.edu.sg/soe_research/1476
https://ink.library.smu.edu.sg/context/soe_research/article/2475/viewcontent/2011___02___estimation_of_monthly_volatility.pdf

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