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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sg-smu-ink.soe_research-24752019-11-12T07:48:43Z Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods LIU, Shouwei TSE, Yiu Kuen 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 Carlo results show that the ACD-ICV method performs well against the other two methods. Evidence on the Chicago Board Options Exchange volatility index (VIX) shows that it predicts the ACD-ICV volatility estimates better than it predicts the RV estimates. While the RV method is popular for the estimation of monthly volatility, its performance is inferior to the GARCH method. 2013-01-01T08:00:00Z text application/pdf 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 http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Autoregressive conditional duration generalized autoregressive conditional heteroskedasticity market microstructure realized volatility transaction data Econometrics Finance |
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Autoregressive conditional duration generalized autoregressive conditional heteroskedasticity market microstructure realized volatility transaction data Econometrics Finance LIU, Shouwei TSE, Yiu Kuen Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods |
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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 Carlo results show that the ACD-ICV method performs well against the other two methods. Evidence on the Chicago Board Options Exchange volatility index (VIX) shows that it predicts the ACD-ICV volatility estimates better than it predicts the RV estimates. While the RV method is popular for the estimation of monthly volatility, its performance is inferior to the GARCH method. |
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LIU, Shouwei TSE, Yiu Kuen |
author_facet |
LIU, Shouwei TSE, Yiu Kuen |
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LIU, Shouwei |
title |
Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods |
title_short |
Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods |
title_full |
Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods |
title_fullStr |
Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods |
title_full_unstemmed |
Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods |
title_sort |
estimation of monthly volatility: an empirical comparison of realized volatility, garch and acd-icv methods |
publisher |
Institutional Knowledge at Singapore Management University |
publishDate |
2013 |
url |
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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