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
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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spelling 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
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Autoregressive conditional duration
generalized autoregressive conditional heteroskedasticity
market microstructure
realized volatility
transaction data
Econometrics
Finance
spellingShingle 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
description 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.
format text
author LIU, Shouwei
TSE, Yiu Kuen
author_facet LIU, Shouwei
TSE, Yiu Kuen
author_sort 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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