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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Bibliographic Details
Main Authors: LIU, Shouwei, TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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Online Access: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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Institution: Singapore Management University
Language: English